Essays about: "portfolio efficiency"

Showing result 1 - 5 of 98 essays containing the words portfolio efficiency.

1. 1. Accounting for the Measurement Bias: A Study of Market Efficiency in the United States and the Relevance of Extensive Fundamental Analysis in Equity Valuation

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

   Author : Erik Bergmark; Hugo Freudenthal; [2023]
   Keywords : Accounting valuation bias; Fundamental analysis; Horizon Value; Market mispricing; Residual income valuation;

   Abstract : This thesis investigates abnormal returns over the period 1983-2021 from an investment strategy that is based on public accounting information. Investment positions are taken in US manufacturing firms and are held for 36 months using a self-financing (hedged) portfolio. READ MORE

3. 2. Developing the Electric Vehicle Battery Recycling Supply Chain

   University essay from Lunds universitet/Teknisk logistik

   Author : Tor Fröjd; Henrik Bengtsson; [2023]
   Keywords : Technology and Engineering;

   Abstract : The demand for electric vehicles (EVs) and battery production necessitates efficient logistics for battery recycling. However, the industry currently lacks widely adopted packaging and logistics standards, resulting in efficiency losses. Existing solutions are often expensive and overly safe for most recycled batteries. READ MORE

4. 3. Decoding the Winning Strategy - An in-depth study of Swedish closed-end funds

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Fredrik Stenberg; Markus Albert; [2023]
   Keywords : Closed-end funds; predictability of stock returns; predicting investor targets; active ownership; Business and Economics;

   Abstract : The predictability of stock returns, prediction of buyout targets and value creation by activist owners are well-researched areas. However, Swedish closed-end funds' outstanding performance has received little attention. READ MORE

5. 4. Momentum Strategies in Commodity Futures Market: A Quantitative study

   University essay from Umeå universitet/Företagsekonomi

   Author : Jino Badinson; Alfred Gunnarsson; [2023]
   Keywords : Momentum Effect; Contrarian Effect; Investment Strategy; Commodity Futures; Efficient Market Hypothesis; Behavioral Finance Theory;

   Abstract : This study employs a quantitative approach to investigate the momentum phenomenon in the commodity futures market. The study captures the phenomenon using two momentum indicators, namely, MACD and RSI, and extends the scope of indicator utilization to both joint and single usage. READ MORE

6. 5. Dynamic Covariance Modelling Using Generalised Wishart Processes

   University essay from Lunds universitet/Matematisk statistik

   Author : Fredrik Nilsson; [2023]
   Keywords : Covariance matrix; generalised Wishart process; Bayesian inference; Markov chain Monte Carlo; Hamiltonian Monte Carlo; Mathematics and Statistics;

   Abstract : Modern portfolio theory was pioneered by Markowitz who formulated the mean-variance problem, without which any discussion on quantitative approaches to portfolio selection would be incomplete. The framework boils down to finding the expected return $\mu$ and covariance $\Sigma$, after which the solution is proportional to $\Sigma^{-1}\mu$. READ MORE