Essays about: "Dow Jones Industrial Average"

Showing result 6 - 10 of 16 essays containing the words Dow Jones Industrial Average.

1. 6. Value at Risk and Expected Shortfall risk measures using Extreme Value Theory

   University essay from Göteborgs universitet/Institutionen för nationalekonomi med statistik

   Author : Peter Johansson; [2019-01-22]
   Keywords : Extreme Value Theory; Generalized Pareto Distribution; Point-Over-Threshold method; risk measures; Value at Risk; Expected Shortfall;

   Abstract : Calculating risk measures as Value at Risk (VaR) and Expected Shortfall (ES) has become popular for institutions and agents in financial markets. A main drawback with these risk measures is that they traditionally assume a specific distribution, as the Normal distribution or the Student’s t distribution. READ MORE

3. 7. Evaluating the potential profitability of alpha trading

   University essay from Uppsala universitet/Nationalekonomiska institutionen

   Author : Ellinor Gyldberg; [2019]
   Keywords : ;

   Abstract : The purpose of this thesis is to test whether an active trading strategy using historical alpha values (a measure of risk-adjusted excess returns) for stocks can be used to achieve positive risk-adjusted profits. To do so, data on stocks in the Dow Jones Industrial Average and the Standard & Poor’s 500 Index from 1997 to 2018 are used to estimate the market model, using GARCH and TGARCH. READ MORE

4. 8. Type 1 error rate and significance levels when using GARCH-type models

   University essay from Uppsala universitet/Statistiska institutionen

   Author : Ellinor Gyldberg; Henrik Bark; [2019]
   Keywords : ;

   Abstract : The purpose of this thesis is to test whether the probability of falsely rejecting a true null hypothesis of a model intercept being equal to zero is consistent with the chosen significance level when modelling the variance of the error term using GARCH (1,1), TGARCH (1,1) or IGARCH (1,1) models. We test this by estimating “Jensen’s alpha” to evaluate alpha trading, using a Monte Carlo simulation based on historical data from the Standard & Poor’s 500 Index and stocks in the Dow Jones Industrial Average Index. READ MORE

5. 9. Sustainability for Portfolio Optimization

   University essay from Mälardalens högskola/Akademin för utbildning, kultur och kommunikation

   Author : Asomani Kwadwo Anane; [2019]
   Keywords : Sustainability; portfolio optimization; Markowitz mean-variance theory;

   Abstract : The 2007-2008 financial crash and the looming climate change and global warming have heightened interest in sustainable investment. But whether the shift is as a result of the financial crash or a desire to preserve the environment, a sustainable investment might be desirable. READ MORE

6. 10. Financial Behavior and the Momentum Strategy

   University essay from Lunds universitet/Företagsekonomiska institutionen

   Author : Olle Josefsson; Emil Eliasson; Fredrik Thörning; [2018]
   Keywords : Behavioral Finance; Momentum Strategy; CAPM; Sharpe Ratio and Trading; Business and Economics;

   Abstract : Title: Financial Behavior and the Momentum Strategy Seminar date: 2018-05-31 Course: FEKH89, Bachelor’s Degree Project in Financial Management, Business Administration, Undergraduate Level, 15 ECTS Authors: Emil Eliasson, Olle Josefsson, Fredrik Thörning Advisor: Maria Gårdängen Purpose: The authors of this thesis aim to study if it is possible to generate a better Sharpe ratio within the CAPM-theory using a mathematical model to buy and sell a risky asset depending on the market volatility. The authors then aim to explain the changes in volatility by discussing anomalies in the market. READ MORE