Essays about: "Sortino ratio"

Showing result 1 - 5 of 12 essays containing the words Sortino ratio.

  1. 1. Combining Value Investing with Quality Investing: Empirical Evidence from the European and Nordic Stock Markets

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Oleksii Chepil; [2024]
    Keywords : value investing; quality investing;

    Abstract : The aim of this thesis is to explore whether stock selection based on five value metrics and six quality metrics can generate superior returns compared to the overall market. The selected markets are the Nordic one (Nasdaq OMX Nordic 120 being the benchmark) and the European one (STOXX Europe 600 being the benchmark), while the selected time period is 2001-2023 for Europe and 2010-2023 for the Nordics. READ MORE

  3. 2. An Artificial Neural Network Approach to Algorithmic Trading

    University essay from Lunds universitet/Matematisk statistik

    Author : Timmie Bengtsson; [2023]
    Keywords : Financial Markets; Machine Learning; Long Short-Term Memory; Gated Recurrent Unit; Recurrent Neural Networks; Time Series Analysis; Algorithmic Trading; Mathematics and Statistics;

    Abstract : The field of machine learning has advanced significantly in recent decades, and, at the same time, computational power has improved to the point where training large machine learning models, such as artificial neural networks, is now accessible. Consequently, there has been a rise in the use of these models within the financial sector, with some firms leveraging them to assist with investment decisions. READ MORE

  4. 3. Investing without conscience

    University essay from

    Author : Olle Blennskog; Markus Gillesén; [2022-07-11]
    Keywords : ;

    Abstract : The chase for maximum returns is a race every investor participates in. The number of investing strategies is almost equal to the number of investors, and everyone claims that their strategy is the best. READ MORE

  5. 4. Examination of AI-based ESG-scores as a valid source of alpha in the Swedish investing landscape

    University essay from Lunds universitet/Matematisk statistik

    Author : Marcus Haevaker; [2022]
    Keywords : Mathematics and Statistics;

    Abstract : Investing based on environmental, social, and governmental (ESG) criteria has grown rapidly in recent years. The trend has been driven by both an increased interest in sustainability, and the fact that ESG related corporate events have been shown to influence stock prices. READ MORE

  6. 5. A Neural Network Approach for Generating Investors’ Views in the Black-Litterman Model

    University essay from KTH/Matematik (Avd.)

    Author : Rafael Lavatt; [2022]
    Keywords : Black-Litterman; Neural Networks; Portfolio Optimization; Black-Litterman; Neurala nätverk; portföljoptimering;

    Abstract : This thesis investigates how neural networks can be used to produce investors' views for the Black-Litterman market model. The study uses two data sets, one with global stock market indexes and one with stock market data from the S&P 500. READ MORE