Essays about: "variance ratio test"

Showing result 11 - 15 of 28 essays containing the words variance ratio test.

  1. 11. Can cryptocurrencies enhance portfolio performance?

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Mortimer Henningsson; [2019]
    Keywords : cryptocurrencies; Bitcoin; asset selection; diversification; portfolio strategy; Business and Economics;

    Abstract : This thesis utilizes mean-variance analysis and Sharpe-ratio optimization to explore the possibilities of adding cryptocurrencies to enhance portfolio performance. While earlier such research has focused on Bitcoin alone, this study examines 17 of the largest cryptocurrencies, selected based on their market capitalization. READ MORE

  3. 12. A Black-Litterman portfolio allocation model combined with a Markov switching framework

    University essay from Lunds universitet/Matematisk statistik

    Author : Axel Skantze; [2018]
    Keywords : Mathematics and Statistics;

    Abstract : This is a M.Sc. thesis investigating the compatibility and performance of a regime switching framework as a complement to the Black-Litterman portfolio allocation model. Conclusively, it is considered to be a compatible match of models in terms of practical implementation and the results indicate that the model is performing well. READ MORE

  4. 13. VIX ETPs as Portfolio Diversifiers

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Nils Hartung von Hartungen; Michael Katzdobler; [2017]
    Keywords : VIX; ETPs; Mean-Variance Spanning; Mean-Variance Criterion; Multi-Objective Portfolio Selection;

    Abstract : This paper studies whether the popularity of VIX ETPs can be explained by their suitability as portfolio diversifiers for retail investors having access to a typical set of ETFs. We first carry out an analysis from the perspective of investors with a quadratic utility function by employing the mean-variance spanning test and the mean-variance criterion. READ MORE

  5. 14. Testning the Adaptive Market Hypothesis on the OMXS30 Stock Index: 1986-2014 : Stock Return Predictability And Market Conditions

    University essay from Högskolan i Jönköping/IHH, Företagsekonomi

    Author : Louise Svensson; Andreas Soteriou; [2017]
    Keywords : Adaptive market hypothesis; stock return predictability; market conditions; linear independence; non-­linear independence; market efficiency;

    Abstract : We evaluate the validity of the Adaptive Market Hypothesis (AMH) in a Swedish context by testing for stock return predictability on the OMXS30 stock index between 1986 and 2014 using daily returns and monthly two year moving subsamples. To our knowledge, this is the first study to evaluate the AMH in a Swedish context. READ MORE

  6. 15. Study of the Weak-form Efficent Market Hypothesis - Evidence from the Chinese stock market

    University essay from Göteborgs universitet/Institutionen för nationalekonomi med statistik

    Author : Nadja Grochevaia; John Hang; [2016-04-19]
    Keywords : market efficiency; efficient market hypothesis; weak-form efficiency; random walk; Chinese stock market; variance ratio test; daily calendar effect;

    Abstract : This paper examines the Chinese stock market efficiency through validation of the weak-form efficient market hypothesis of the Shanghai and Shenzhen stock exchanges. Also, the paper attempts to determine the presence of daily calendar effects on the Chinese stock market. READ MORE