Essays about: "Mean-variance"

Showing result 1 - 5 of 93 essays containing the word Mean-variance.

  1. 1. Dollar-Cost Averaging Versus Lump-Sum-Investing : Evidence from Sweden

    University essay from Uppsala universitet/Företagsekonomiska institutionen; Uppsala universitet/Företagsekonomiska institutionen

    Author : Ludwig Eriksson; Philip Fransson; [2021]
    Keywords : ;

    Abstract : Dollar-Cost Averaging (DCA) is a popular investment strategy for purchasing equity securities. Even though previous research shows that DCA is somehow inefficient, it has remained a default strategy widely recommended by financial advisors worldwide. READ MORE

  2. 2. Quantitative tactical asset allocation: Using the VIX to exploit bull and bear market movements in a Mean-Variance portfolio

    University essay from Göteborgs universitet/Graduate School

    Author : Christian Persson; Robin Williams; [2020-07-08]
    Keywords : VIX; strategy; mean-variance; simple moving average; volatility; transaction costs; bull market; bear market;

    Abstract : MSc in Finance.... READ MORE

  3. 3. Evaluation of a Portfolio in Dow Jones Industrial Average Optimized by Mean-Variance Analysis

    University essay from KTH/Matematisk statistik; KTH/Matematisk statistik

    Author : Alexander Strid; Daniel Liu; [2020]
    Keywords : applied mathematics; mean-variance analysis; modern portfolio theory; Markowitz; Dow Jones Industrial Average; quadratic optimization; portfolio optimization; tillämpad matematik; mean-variance analysis; modern portföljteori; Markowitz; Dow Jones Industrial Average; kvadratisk optimering; portföljoptimering;

    Abstract : This thesis evaluates the mean-variance analysis framework by comparing the performance of an optimized portfolio consisting of stocks from the Dow Jones Industrial Average to the performance of the Dow Jones Industrial Average index itself. The results show that the optimized portfolio performs better than the corresponding index when evaluated on the period between 2015 and 2019. READ MORE

  4. 4. An Empirical Study of Modern Portfolio Optimization

    University essay from KTH/Matematisk statistik; KTH/Matematisk statistik

    Author : Erik Lagerström; Michael Magne Schrab; [2020]
    Keywords : Mean variance optimization; portfolio theory; asset allocation strategies; equal risk contribution; most diversified portfolio; empirical study; backtesting; Mean variance-optimering; portföljteori; allokeringsstrategier; equal risk contribution; most diversified portfolio; empirisk studie; historisk simulering;

    Abstract : Mean variance optimization has shortcomings making the strategy far from optimal from an investor’s perspective. The purpose of the study is to conduct an empirical investigation as to how modern methods of portfolio optimization address the shortcomings associated with mean variance optimization. READ MORE

  5. 5. How is ESG Affecting Stock Returns? A Portfolio- and Panel Data Analysis of US Firms in the S&P 500

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Per Jonas Partapuoli; Charlotte Breitz; [2020]
    Keywords : ESG; HML; S P 500; Momentum; Fama-French Five-factor Model; Portfolio Analysis; Panel Data Analysis; Sustainable Investing; Great Financial Crisis; Business and Economics;

    Abstract : The last two decades, socially responsible investing has emerged such that there is a value in itself to invest responsibly. This paper analyzes the relationship between Environmental, Social, Governance (ESG) and stock returns, and investigate if any of these three individual pillars have a more significant impact during the period 2005 – 2018. READ MORE