Essays about: "Benchmark portfolios"

Showing result 11 - 15 of 80 essays containing the words Benchmark portfolios.

  1. 11. The benefits of optimized portfolios- An empirical comparison between optimized portfolios and benchmarks

    University essay from Göteborgs universitet/Graduate School

    Author : John Nestenborg; Simon Petersson; [2022-06-29]
    Keywords : Optimized portfolios; Global Minimum Variance; GMV; Equal Risk Contribution; ERC; Naive portfolio; Market-Capitalization portfolio; Comparison between portfolio weighting schemes;

    Abstract : Uncertainty about the future is an everlasting part of investing. This study aims at testing the historical performance out-of-sample for optimized portfolios and if the performance was superior to benchmarks. 11 different portfolios are compared to two different benchmarks; the naive- and market-capitalized portfolio. READ MORE

  3. 12. Deep Reinforcement Learning Approach to Portfolio Optimization

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Lorik Sadriu; [2022]
    Keywords : Deep Reinforcement Learning; Portfolio Optimization; Portfolio performance; EMH; Business and Economics;

    Abstract : This paper evaluates whether a deep reinforcement learning (DRL) approach can be implemented, on the Swedish stock market, to optimize a portfolio. The objective is to create and train two DRL algorithms that can construct portfolios that will be benchmarked against the market portfolio, tracking OMXS30, and the two conventional methods, the naive portfolio, and minimum variance portfolio. READ MORE

  4. 13. ESG scores´ effect on investment strategies : How does Dogs of Dow and The Magic Formula´s performance get effected when weighted according to their ESG score? 

    University essay from Linnéuniversitetet/Institutionen för ekonomistyrning och logistik (ELO)

    Author : Oscar Johnsson; Elias Henriksson; [2022]
    Keywords : Dogs of Dow; the Magic Formula; ESG score; Investment strategy; Asset Allocation; Socially responsible investing; Stockholm large cap; CAPM; Stock market;

    Abstract : This thesis investigates the two investment strategies Dogs of Dow and The Magic Formula. We test how the strategies perform when getting weighted to ESG scores and also if they outperform OMXSPI during the years 2012-2022. READ MORE

  5. 14. Applying machine learning to automate stock portfolio management

    University essay from KTH/Skolan för elektroteknik och datavetenskap (EECS)

    Author : Oscar Azrak; Alperen Kinali; Kristian Makadsi; [2022]
    Keywords : Fundamental Analysis; Machine Learning; Revenue; Net Income; ROIC; Free Cash Flow; FCF; Debt-To-Equity;

    Abstract : There are multiple ways to analyze stock companies. One way is using fundamental analysis, which means one is analyzing the company’s business key figures, such as revenue, net income and more. READ MORE

  6. 15. Hedging the Term Structure Risk of Carbon Allowance Derivatives : An Application of Stochastic Optimisation to EUA Market Making

    University essay from Linköpings universitet/Produktionsekonomi

    Author : Nikolas Tsigkas; [2022]
    Keywords : Commodity Derivatives; Emissions Trading; Term Structure; Nonparametric Curve Estimation; Hedging; Stochastic Optimisation; Monte Carlosimulation; Market Microstructre; Systematic Risk Factors;

    Abstract : The initiative by the EU to combat global warming through the introduction of a cap-and-trade system for greenhouse gas emissions in 2005, known as the EU Emissions Trading System (ETS), resulted in the inception of a new financial market. The right to emit one tonne of CO2-equivalents, as well as derivatives on this right, have become commodities, traded both through exchanges and over the counter. READ MORE