Essays about: "Back-testing"

Showing result 1 - 5 of 17 essays containing the word Back-testing.

  1. 1. Expected Shortfall Estimation

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Kristina Boehm; [2019]
    Keywords : normal; skewed; t-distribution; Expected Shortfall; Value at Risk; Business and Economics;

    Abstract : This thesis evaluates the performance of Expected Shortfall estimation with normal, student-t and skewed distributions. It is stylized fact that student-t distribution generally outperforms normal distribution. READ MORE

  2. 2. Application of Mean Absolute Deviation Optimization in Portfolio Management

    University essay from KTH/Matematisk statistik; KTH/Matematisk statistik

    Author : Gustav Rehnman; Nils Tesch; [2018]
    Keywords : Portfolio Theory; Linear Programming; Mean Absolute Deviation; Black-Litterman; Portföljteori; Linjär Programmering; Mean Absolute Deviation; Black-Litterman.;

    Abstract : This thesis is an implementation project of a portfolio optimization model, with the purpose of creating a decision support tool. It aims to provide quantitative input to the portfolio construction process at Handelsbanken Fonder, by applying Konno & Yamazaki’s Mean Absolute Deviation method, with a Feinstein & Thapa modification. READ MORE

  3. 3. En ny metod för test av infraröd belysning inom produktion

    University essay from Lunds universitet/Högskoleingenjörsutbildning i datateknik

    Author : Marcus Christensson; Alex De Vincenzo; [2018]
    Keywords : sensor; ir; infrared; light; transducer; production test; test; infrarött. ljus; produktionstest; signalbehandling; Technology and Engineering;

    Abstract : The purpose of this thesis is to improve the current method of testing infrared lighting within Axis security cameras. The current method must be designed for each type of camera, is also large, unwieldy, and takes up a significant amount of floor space which could be better utilized. READ MORE

  4. 4. Value investing; A quest for alpha in the Nordic region - Back-testing the strategies developed by Joel Greenblatt and Joseph Piotroski

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

    Author : Jonas Wahlström; Alfons Jagut; [2017]
    Keywords : Value Relevance of Accounting Measures; F-Score; MFI; Value Investing; Fama French s three-factor model;

    Abstract : This thesis evaluates the performance of the Magic formula and F-score. The investment strategies are applied to the entire Nordic region over the period of 2005-2015 and the returns evaluated using the CAPM and Fama & French's three-factor model. READ MORE

  5. 5. Predictability of Mutual Fund Performance - Evidence from the Swedish Market

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Stefano Pagliani; Philipp Oliver Rusch; [2017]
    Keywords : Performance Prediction; Investment Decisions; Mutual Fund Performance;

    Abstract : This paper studies the out-of-sample performance of three established mutual fund performance predictors in Sweden. Our study draws inspiration from the work of Jones and Mo (2016). We analyse the momentum, back testing and selectivity predictors, based on previously introduced methodologies, as well as our own revised approaches. READ MORE