Essays about: "equity risk"

Showing result 21 - 25 of 427 essays containing the words equity risk.

  1. 21. Evaluating the Effect of Meta-Labeling on Equity Market Neutral Strategy

    University essay from Lunds universitet/Statistiska institutionen

    Author : Niclas Wölner-Hanssen; [2023]
    Keywords : Meta-Labeling; Probabilistic Sharpe Ratio; Equity Market Neutral; Mathematics and Statistics;

    Abstract : This thesis aims to construct an Equity Market Neutral (EMN) strategy framework to predict intraday excess returns of stocks within the S&P 500 index by utilizing machine learning techniques proposed by (López de Prado, 2018). The constructed EMN strategies within the framework utilizes techniques such as Stacked Single Feature Importance (SSFI), sample weighting, Probabilistic Sharpe Ratio (PSR), and meta-labeling. READ MORE

  3. 22. Integrating Place Attachment into Local Government Climate Change Adaptation: Barriers and Implications for Equity

    University essay from Lunds universitet/Avdelningen för Riskhantering och Samhällssäkerhet

    Author : Paula Annet Härö; [2023]
    Keywords : Fairness; equity; climate justice; climate change adaptation; local government; public policymaking; place attachment; community values; decision-making; challenges; Australia; Social Sciences; Earth and Environmental Sciences;

    Abstract : This research examines how consideration of place attachment and community values can inform the development and implementation of fair and equitable climate change adaptation (CCA) practices in the Australian local government context. The research adopts a qualitative approach, using semi-structured interviews with expert interviewees and reflective thematic analysis to answer three research questions. READ MORE

  4. 23. A Transformer-Based Scoring Approach for Startup Success Prediction : Utilizing Deep Learning Architectures and Multivariate Time Series Classification to Predict Successful Companies

    University essay from KTH/Skolan för elektroteknik och datavetenskap (EECS)

    Author : Gustaf Halvardsson; [2023]
    Keywords : Machine learning; Time Series Classification; Transformers; Gated Recurrent Unit; Venture Capital; Maskininlärning; tidsseriesklassifiering; Transformer; Gated Recurrent Unit; riskkapital;

    Abstract : The Transformer, an attention-based deep learning architecture, has shown promising capabilities in both Natural Language Processing and Computer Vision. Recently, it has also been applied to time series classification, which has traditionally used statistical methods or the Gated Recurrent Unit (GRU). READ MORE

  5. 24. Capturing time variation within systemic risk estimation

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Christian Hovstadius; Baltsar Lindgren; [2023]
    Keywords : Systemic risk; CoVaR; State variables; Lasso; PCA; Business and Economics;

    Abstract : Systemic risk can be defined as the risk to the whole financial system. Financial institutions may contribute more or less to this risk, and measuring the systemic risk contributions of institutions is of central importance for regulators. READ MORE

  6. 25. Revisiting the Idiosyncratic Volatility Puzzle and MAX Effect in European Equity Markets

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : David Böckling; Jurgis Druktenis; [2023]
    Keywords : Idiosyncratic volatility; Fama-French three-factor model; MAX effect; European equity markets; Asset pricing anomalies;

    Abstract : In light of traditional financial theory's argument that firm-specific risk should not impact future returns, the findings of the Idiosyncratic Volatility (IVOL) puzzle, as well as the Maximum Daily Returns (MAX) effect, have sparked a vibrant academic debate. Using data from January, 1993, to December, 2022, this paper presents European aggregate and country-level evidence at the intersection between the two asset pricing anomalies. READ MORE