Essays about: "Likaviktad"

Found 4 essays containing the word Likaviktad.

  1. 1. Combinatorial and price efficient optimization of the underlying assets in basket options

    University essay from KTH/Optimeringslära och systemteori

    Author : Sara Alexis; [2017]
    Keywords : Option pricing; correlated stochastic processes; Basket option; moment matching; lognormal approximation; binary nonlinear optimization; continuous nonlinear optimization; Monte Carlo simulation; penalty methods;

    Abstract : The purpose of this thesis is to develop an optimization model that chooses the optimal and price efficient combination of underlying assets for a equally weighted basket option. To obtain a price efficient combination of underlying assets a function that calculates the basket option price is needed, for further use in an optimization model. READ MORE

  3. 2. A performance investigation and evaluation of selected portfolio optimization methods with varying assets and market scenarios

    University essay from KTH/Matematisk statistik

    Author : Gustaf Callert; Filip Halén Dahlström; [2016]
    Keywords : Portfolio optimization; Asset allocation; Evaluation ratios; Asset pricing; Risk measures; Monte Carlo simulation; Bootstrapping;

    Abstract : This study investigates and evaluates how different portfolio optimization methods perform when varying assets and financial market scenarios. Methods included are mean variance, Conditional Value-at-Risk, utility based, risk factor based and Monte Carlo optimization. READ MORE

  4. 3. Smart Beta - index weighting

    University essay from KTH/Matematisk statistik

    Author : Oscar Blomkvist; [2015]
    Keywords : Smart beta; portfolio optimization; Sharpe ratio; equal weights; diversification; fundamental analysis; P E-ratio; performance; risk; trading cost; market impact.; Smart beta; portföljoptimering; Sharpe-kvot; likaviktad; diversifiering;

    Abstract : This study is a thesis ending a 120 credit masters program in Mathematics with specialization Financial Mathematics and Mathematical Statistics at the Royal Institute of Technology (KTH). The subject of Smart beta is defined and studied in an index fund context. READ MORE

  5. 4. Can intangibles lead to superior returns? : Global evidence on the relationship between employee satisfaction and abnormal equity returns.

    University essay from Företagsekonomi

    Author : Rami Ballout; Fredrik Nygård; [2013]
    Keywords : Great place to work; Socially responsible investment; SRI; Intangible asset; Market efficiency; Employee satisfaction; Abnormal return; Excess return; Risk-adjusted return; Three-factor model; Four-factor model; Fama French; Carhart; Equally-weighted; Value-weighted; Immateriella tillgångar; Marknadseffektivitet; Medarbetarnöjdhet; Abnormal avkastning; Överavkastning; Riskjusterad avkastning; Likaviktad; Värdeviktad;

    Abstract : Subject background and discussion: In recent decades, issues of human rights, labor and environmental change has been hot topics world wide, which also has influenced the financial market. More and more investors use socially responsible investing (SRI) screens when constructing their portfolios. READ MORE