Essays about: "euro portfolio"

Showing result 1 - 5 of 12 essays containing the words euro portfolio.

  1. 1. Factor Investing and ESG Integration in Regime-switching Models- An Empirical Study on ESG Factor Integration Using Infinite Hidden Markov Models

    University essay from Göteborgs universitet/Graduate School

    Author : Arien Haghshenas; Martin Karim; [2022-06-29]
    Keywords : ESG; Hidden Markov Models; Factor investing; Machine learning; Portfolio construction; Regime-switching models;

    Abstract : ESG investing is an active area of interest, both for the investment and academic communities. However, research is inconclusive on the financial benefits of integrating ESG factors in portfolio construction. READ MORE

  3. 2. The benefits of optimized portfolios- An empirical comparison between optimized portfolios and benchmarks

    University essay from Göteborgs universitet/Graduate School

    Author : John Nestenborg; Simon Petersson; [2022-06-29]
    Keywords : Optimized portfolios; Global Minimum Variance; GMV; Equal Risk Contribution; ERC; Naive portfolio; Market-Capitalization portfolio; Comparison between portfolio weighting schemes;

    Abstract : Uncertainty about the future is an everlasting part of investing. This study aims at testing the historical performance out-of-sample for optimized portfolios and if the performance was superior to benchmarks. 11 different portfolios are compared to two different benchmarks; the naive- and market-capitalized portfolio. READ MORE

  4. 3. CAPM Beta and Geopolitical Risk

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Filip Ternemo; [2022]
    Keywords : Black Swan Investing; CAPM Beta; Excess Returns; Geopolitical Risk; Mean Reversion.; Business and Economics;

    Abstract : Recent years, geopolitical risks have dominated the news feed for the financial markets. There have historically been some geopolitical events that have resulted in major declines in the stock market and such a market day can be classified as a geopolitical Black Swan. READ MORE

  5. 4. PEPP Talk: The Impact of the ECB's Pandemic Emergency Purchase Programme on the Corporate Bond Market

    University essay from Lunds universitet/Företagsekonomiska institutionen

    Author : Lorenzo Gianni Günther; Emma Lundblad; [2022]
    Keywords : Quantitative Easing; The European Central Bank; The Pandemic Emergency Purchase Programme; Corporate Bonds; Covid-19; Credit Spread; Business and Economics;

    Abstract : Purpose: This thesis aims to evaluate whether the ECB’s Pandemic Emergency Purchase Programme (PEPP) cushioned the Covid-19 crisis’ impact on the Euro area’s corporate bond market and relieved borrowing conditions. Methodology: The methodology is based upon unbalanced panel data and difference-in-differences regressions with firm-clustered standard errors. READ MORE

  6. 5. Smart Beta Factor Investing

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Alex Mikaelsson; Martin Nilsson; [2017]
    Keywords : Smart Beta; Factor Investing; Efficient Markets; Asset Allocation; Business and Economics;

    Abstract : In an attempt to bridge the gap between active and passive investing, Smart Beta strategies have become a popular alternative for investors given their systematic, rules-based approach to portfolio construction and historical tendency to capture market inefficiencies. In this thesis, we examine the performance of Smart Beta strategies versus the S&P 500 and the Euro Stoxx 600 index for time periods 1994-2016 and 2002-2016 respectively. READ MORE