Essays about: "Portfolio management"

Showing result 1 - 5 of 206 essays containing the words Portfolio management.

  1. 1. Actively Managed Investments : A comparison of US hedge and equity mutual funds

    University essay from Högskolan i Jönköping/IHH, Företagsekonomi; Högskolan i Jönköping/IHH, Företagsekonomi

    Author : Erik Andrén; Oskar Fors; [2017]
    Keywords : Equity mutual funds; Hedge funds; Sortino ratio; Sharpe ratio; Fama-French three-factor model;

    Abstract : Over the past years, the total assets under management among hedge funds and equity mutual fundshave increased significantly. The question from an investor point of view iswhich investment vehicle can provide the greatest return adjusted for risk. READ MORE

  2. 2. Conditional Value-at-Risk targeted portfolio optimisation

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Dennis Gill; Tim Herzig; [2017]
    Keywords : Conditional Value-at-Risk; Value-at-Risk; Coherent Risk Measures; Portfolio Optimisation; Monte Carlo Simulation;

    Abstract : New financial regulations have constantly forced market participants to adapt to changing rules. Recent regulatory iterations require them to focus on tail risk in portfolios of financial assets. One metric to quantify tail risk in portfolios is the Conditional Value-at-Risk (cVaR). READ MORE

  3. 3. Diversification benefits of investments in emerging markets - A Swedish perspective

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Gustav Berg; Pontus Zetterberg; [2017]
    Keywords : Emerging markets; Diversification; Risk; Portfolio Management;

    Abstract : This paper evaluates the possibilities for Swedish investors to diversify their portfolios through investments in emerging market equities. Two different investor profiles are considered, where one seeks to minimize the risk in her portfolio and the other seeks to maximize her risk-adjusted return. READ MORE

  4. 4. The Closed-End Investment Company NAV Deviation Puzzle: What does the Industry Reveal?

    University essay from Handelshögskolan i Stockholm/Institutionen för redovisning och finansiering

    Author : Max Odqvist; Jesper Warén; [2017]
    Keywords : NAV; NAV Deviations; Investment Company; Closed-End Fund;

    Abstract : This study of net asset value deviations ("NAV deviations") is conducted with a qualitative method to find explanations for NAV deviations by testing the entrenchment of current theories in Swedish investment companies. The study was conducted through a total of 15 interviews with representatives from investment companies, equity research analysts and fund managers. READ MORE

  5. 5. The Rolling Window Method: Precisions of Financial Forecasting

    University essay from KTH/Matematisk statistik

    Author : Ludvig Hällman; [2017]
    Keywords : ;

    Abstract : In this thesis we set out to study the prediction accuracy of statistical quantities related to portfolio analysis and risk management implied by a given set of historical data. The considered forecasting procedure rely on rolling-window estimates over varying horizons where the resulting empirical return distributions can be considered the corresponding stationary distributions. READ MORE