Essays about: "Expected return"

Showing result 1 - 5 of 163 essays containing the words Expected return.

  1. 1. Covariance Matrix Regularization for Portfolio Selection: Achieving Desired Risk

    University essay from Lunds universitet/Matematisk statistik

    Author : Manu Upadhyaya; [2020]
    Keywords : covariance matrix; portfolio selection; risk; Mathematics and Statistics;

    Abstract : The modus operandi of most asset managers is to promise clients an annual risk target, where risk is measured by realized standard deviation of portfolio returns. Moreover, Markowitz (1952) portfolio selection requires an estimate of the covariance matrix of the returns of the financial instruments under consideration. READ MORE

  2. 2. Green Bonds: A Study on Expected Returns and Liquidity Effects

    University essay from Göteborgs universitet/Graduate School

    Author : Carl-Anton Bryngelsson; Anton Gavin; [2019-08-08]
    Keywords : Green bonds; Liquidity; Bid-Ask Spread; Fixed income; Expected return; Asset pricing; Bond pricing;

    Abstract : MSc in Accounting and Financial Management.... READ MORE

  3. 3. Testing the Performance of the Capital Asset Pricing Model and the Fama-French Three-Factor Model - A study on the Swedish Stock Market between 2014-2019

    University essay from Göteborgs universitet/Institutionen för nationalekonomi med statistik

    Author : Frida Gustafsson; Robert Gustavsson; [2019-07-12]
    Keywords : ;

    Abstract : The returns of potential investments are interesting for every investor. In this thesis we compared two financial models that are often used to predict expected returns of portfolios with different financial instruments. READ MORE

  4. 4. ENHANCING MOMENTUM PROFITS THROUGH VOLATILITY TIMING AND COST MITIGATION TECHNIQUES

    University essay from Göteborgs universitet/Graduate School

    Author : Nguyen Cao; Natalia Vdovina; [2019-07-02]
    Keywords : momentum; momentum strategy; momentum crash; volatility; transaction costs; turnover; return; volatility adjusted momentum; volatility timing;

    Abstract : MSc in Finance.... READ MORE

  5. 5. Performance Evaluation of Small- and Large-cap stocks - The importance of size effects on the Swedish equity market

    University essay from Göteborgs universitet/Institutionen för nationalekonomi med statistik

    Author : Andreas Carlsson; Erik Hulth; [2019-02-20]
    Keywords : Performance Evaluation; Asset pricing; Size Effect; Sharpe Ratio; Treynor ratio; Jensen´s alpha; Risk-Adjusted Returns; Fama-French Three-Factor Model; Carhart Four-Factor Model; Multi-factor models; Single-factor model;

    Abstract : This Bachelor´s thesis investigated the performance of small-cap stocks and large-cap stocks on the Swedish equity market (NASDAQ OMX) over the years 2011 to 2016. A number of studies focused on asset pricing have during the last decades indicated that the original Capital Asset Pricing Model (CAPM) is misspecified and has limited power to explain cross-sectional and temporal variations in expected equity returns. READ MORE