Essays about: "Asset pricing"

Showing result 1 - 5 of 303 essays containing the words Asset pricing.

  1. 1. A valuation of Swedish hedge fund performance

    University essay from Göteborgs universitet/Institutionen för nationalekonomi med statistik

    Author : Elis Grönqvist; Johan Wennerström; [2023-02-09]
    Keywords : ;

    Abstract : In this thesis we present annual returns of Swedish hedge funds sorted by investment strategies and investigate which strategy performs best and how the Fama-French factors: market premium, value premium and growth premium affect these returns. The Fama-French three-factor model is built on the Capital Asset Pricing Model which tries to describe the relationship between the expected return of an asset and the risk of the asset compared to the market. READ MORE

  2. 2. Pricing and Hedging American-Style Options withDeep Learning: Algorithmic implementation

    University essay from Uppsala universitet/Analys och partiella differentialekvationer

    Author : Mohammed Moniruzzaman Khan; [2023]
    Keywords : ;

    Abstract : This thesis aims at evaluating and implementing Longstaff & Schwarz approach for approximating the value of American options. American options are generally hard to value, exercised at any time up to its expiration and moreover, there is no closed- form solution for an American option’s price. READ MORE

  3. 3. An Artificial Neural Network Approach to Algorithmic Trading

    University essay from Lunds universitet/Matematisk statistik

    Author : Timmie Bengtsson; [2023]
    Keywords : Financial Markets; Machine Learning; Long Short-Term Memory; Gated Recurrent Unit; Recurrent Neural Networks; Time Series Analysis; Algorithmic Trading; Mathematics and Statistics;

    Abstract : The field of machine learning has advanced significantly in recent decades, and, at the same time, computational power has improved to the point where training large machine learning models, such as artificial neural networks, is now accessible. Consequently, there has been a rise in the use of these models within the financial sector, with some firms leveraging them to assist with investment decisions. READ MORE

  4. 4. How to choose green?

    University essay from Göteborgs universitet/Institutionen för nationalekonomi med statistik

    Author : Adrian Thureborn; Jakob Ödman; [2022-02-28]
    Keywords : ;

    Abstract : This paper investigates if there is any difference between active managed funds and passive managed funds in regard to their risk-adjusted return. The thesis focuses on Swedish sustainable funds that invest in accordance with the ESG (environmental, governance and social) criteria during the time period 2011-2021. READ MORE

  5. 5. Liquidity and its effect on asset returns

    University essay from Uppsala universitet/Företagsekonomiska institutionen

    Author : Philip Mafi; Linnéa Wilhelmsson; [2022]
    Keywords : Asset-pricing; illiquidity premium; liquidity factor;

    Abstract : With data covering 20 years, we test three different liquidity measures' explanatory power in explaining asset returns on the Swedish stock market, and if an illiquidity premium exists. After establishing whether an illiquidity premium exists or not, we test whether the asset pricing models CAPM and the Fama-French three-factor model can benefit from including a liquidity factor. READ MORE