Essays about: "Expected return"

Showing result 11 - 15 of 288 essays containing the words Expected return.

  1. 11. A Quantitative Framework for Constructing a Multi-Asset CTA with a Momentum-Based Approach

    University essay from Uppsala universitet/Datalogi

    Author : Rebecca Fällström; [2023]
    Keywords : Commodity trading advisors; CTA; trend-following; momentum strategies; risk parity; equally weighted; Markowitz weights; optimization;

    Abstract : Commodity Trading Advisors (CTAs) have gained popularity due to their abilities to generate an absolute return strategy. Little is known about how CTAs work and what variables are important to tune in order to create a profitable strategy. READ MORE

  3. 12. Risk Management and Sustainability - A Study of Risk and Return in Portfolios With Different Levels of Sustainability

    University essay from KTH/Matematik (Avd.)

    Author : Magnus Borg; Lucas Ternqvist; [2023]
    Keywords : ESG; Value-at-Risk VaR ; Expected Shortfall ES ; Risk Management; Financial Risk; Financial Mathematics; Sustainability; Portfolio Management; Capital Asset Pricing Model CAPM ; Hållbarhet; Value-at-Risk VaR ; Expected Shortfall ES ; Riskhantering; Finansiell Risk; Finansiell Matematik; Portföljkonstruktion;

    Abstract : This thesis examines the risk profile of Electronically Traded Funds and the dependence of the ESG rating on risk. 527 ETFs with exposure globally were analyzed. Risk measures considered were Value-at-Risk and Expected Shortfall, while some other metrics of risk was used, such as the volatility, maximum drawdown, tail dependece, and copulas. READ MORE

  4. 13. Dividend announcements and the price of stocks

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Markus Tyrstrup; [2023]
    Keywords : Dividend; Announcement; Abnormal Returns; Business and Economics;

    Abstract : The goal of this thesis is to answer the question: Will a special cash dividend announcement from a company on NASDAQ GS create abnormal returns? This thesis will therefore find and measure abnormal returns surrounding a special cash dividend announcement. This is done by performing an event study, following the market model, consisting of 96 announcements from companies listed on the Nasdaq GS. READ MORE

  5. 14. The Influence of Infiltration Capacity and Antecedent Soil Moisture Conditions on Urban Pluvial Flooding

    University essay from Uppsala universitet/Luft-, vatten- och landskapslära

    Author : Disa Barkefors; [2023]
    Keywords : Urban pluvial flood; 2D modelling; MIKE ; urban green area; soil moisture; Chicago Design Storm;

    Abstract : Urban pluvial floods occur during extreme rain events and both occurrence and magnitude of these floods are expected to increase. Preserving or constructing green areas in urban areas has been shown to mitigate and control these floods. READ MORE

  6. 15. The Sisyphean Climb Quantifying Robotic Process Automationwith Agile Methodologies

    University essay from Uppsala universitet/Institutionen för informationsteknologi

    Author : Oscar Johansson; [2023]
    Keywords : ;

    Abstract : This study explores the integral stages involved in the implementation of Robotic Process Automation within organizations, drawing parallels with established practices in software engineering,particularly the Agile methodology. Much like Sisyphus eternally pushing his boulder uphill, the continuous nature of business development requires ongoing effort and constant adaptation. READ MORE