Essays about: "returns on asset"

Showing result 6 - 10 of 299 essays containing the words returns on asset.

1. 6. The effect of covid-19 announcement on sustainable investment portfolios : Observation of the flight-to-quality phenomenon

   University essay from Jönköping University/Internationella Handelshögskolan

   Author : Vladislovas Urbonavicius; Iulia Chirita; [2023]
   Keywords : Sustainable investment portfolio; ESG; Covid-19; Flight-to-quality; Market Shock; Cryptocurrency; Proof-of-stake; proof-of-work.;

   Abstract : The economic impact of the COVID-19 pandemic is still an ongoing topic, broadly analysed and discussed in many studies. Recent articles state that sustainable assets can offer return volatility resilience during demand shock events and, in some cases, provide higher returns than their unsustainable counterparts. READ MORE

3. 7. Portfolio Optimization Problems with Cardinality Constraints

   University essay from KTH/Skolan för teknikvetenskap (SCI)

   Author : Abolgasem Esmaeily; Felix Loge; [2023]
   Keywords : Portfolio Optimization; Modern Portfolio Theory MPT • Mixed Integer Programming MIP ; Efficient Frontier; Cardinality Constraints; Daily Returns; Expected Returns; Asset Allocation; Diversification;

   Abstract : This thesis analyzes the mean variance optimization problem with respect to cardinalityconstraints. The aim of this thesis is to figure out how much of an impact transactionchanges has on the profit and risk of a portfolio. We solve the problem by implementingmixed integer programming (MIP) and solving the problem by using the Gurobi solver. READ MORE

4. 8. A Quantitative Framework for Constructing a Multi-Asset CTA with a Momentum-Based Approach

   University essay from Uppsala universitet/Datalogi

   Author : Rebecca Fällström; [2023]
   Keywords : Commodity trading advisors; CTA; trend-following; momentum strategies; risk parity; equally weighted; Markowitz weights; optimization;

   Abstract : Commodity Trading Advisors (CTAs) have gained popularity due to their abilities to generate an absolute return strategy. Little is known about how CTAs work and what variables are important to tune in order to create a profitable strategy. READ MORE

5. 9. Risk Management and Sustainability - A Study of Risk and Return in Portfolios With Different Levels of Sustainability

   University essay from KTH/Matematik (Avd.)

   Author : Magnus Borg; Lucas Ternqvist; [2023]
   Keywords : ESG; Value-at-Risk VaR ; Expected Shortfall ES ; Risk Management; Financial Risk; Financial Mathematics; Sustainability; Portfolio Management; Capital Asset Pricing Model CAPM ; Hållbarhet; Value-at-Risk VaR ; Expected Shortfall ES ; Riskhantering; Finansiell Risk; Finansiell Matematik; Portföljkonstruktion;

   Abstract : This thesis examines the risk profile of Electronically Traded Funds and the dependence of the ESG rating on risk. 527 ETFs with exposure globally were analyzed. Risk measures considered were Value-at-Risk and Expected Shortfall, while some other metrics of risk was used, such as the volatility, maximum drawdown, tail dependece, and copulas. READ MORE

6. 10. Empirical Asset Pricing via Machine Learning - Evidence from the Chinese stock market

   University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Author : Bao Liu; Chuyue Huan; [2023]
   Keywords : Machine learning; Asset pricing model; Chinese stock market;

   Abstract : This thesis builds upon existing research on the application of machine learning in asset pricing in the US and European stock markets, by incorporating unique predictive indicators specific to the Chinese stock market, to explore whether machine learning can also be successfully applied in the Chinese stock market. Empirical results show that machine learning models outperform OLS significantly in predicting A-share returns, and this conclusion also applies to different portfolios we have constructed. READ MORE