Essays about: "Modern Portfolio Theory"

Showing result 21 - 25 of 85 essays containing the words Modern Portfolio Theory.

  1. 21. Modern Portfolio Theory Combined With Magic Formula : A study on how Modern Portfolio Theory can improve an established investment strategy.

    University essay from Linnéuniversitetet/Institutionen för ekonomistyrning och logistik (ELO)

    Author : Axel Ljungberg; Anton Högstedt; [2021]
    Keywords : Magic Formula; Modern portfolio theory; efficient frontier; Efficient market hypothesis; Sharpe ratio; risk-adjusted returns; Jensen’s alpha; beta; CAPM; OMXSPI;

    Abstract : This study examines whether modern portfolio theory can be used to improve the Magic Formula investment strategy. With the assets picked by the investment strategy we modify the portfolios by weighting the portfolios in accordance with modern portfolio theory. READ MORE

  3. 22. How Many Stocks Should You Buy? A Simulation Study on Portfolio Diversification for the Swedish Stock Market

    University essay from Lunds universitet/Matematisk statistik

    Author : Antonio Prgomet; [2021]
    Keywords : Portfolio Diversication; Modern Portfolio Theory; Quantitative Finance; Return Distributions; Shortfall Risk; Stochastic Dominance; Simulation Study.; Mathematics and Statistics;

    Abstract : For every stock investor, the question of how many stocks to buy is fundamental. The recommendations from the literature is wide and ranges from 10 to over 300. As a contrast, 41.79% of Swedish shareholders held only one stock in year 2020. READ MORE

  4. 23. Mechanical investing, man’s best friend or Foolish? : -A study on mechanical investment strategies on the Swedish stock market

    University essay from Linnéuniversitetet/Institutionen för ekonomistyrning och logistik (ELO)

    Author : Max Lundberg; Jakob Åkerlund; [2021]
    Keywords : Mechanical investing; EMH; Modern portfolio theory; Dogs of the Dow; the Foolish Four; Mean reversion; OMXS30; Contrarianism; The penultimate profit prospect; Stock market.;

    Abstract : The aim of this study is to examine classical Dow-strategies, Dogs of the Dow and Foolish Four relative to each other and OMXS30GI in order to test if promises of substantial returns would be kept on the Swedish stock market during the period 2002-2019. Our empirical findings show no statistically significant excess-return generated by the Foolish Four-strategy over neither the Dogs of the Dow-strategy nor OMXS30GI. READ MORE

  5. 24. What does it cost to invest with preferences? : What does investors lose/gain on investing in sin-stocks versus SRI investing?

    University essay from Högskolan Väst/Avd för juridik, ekonomi, statistik och politik

    Author : Sara Nilsson; Jennifer Ramare; [2021]
    Keywords : SRI-investing; Sin-stocks; risk-adjusted returns; Sharpe ratio; Modern Portfolio Theory;

    Abstract : This paper analyses the difference in risk-adjusted returns between Sin-stocks and SRI-investing for the period 2001-2021. The analysis was conducted by creating two optimally risky portfolios according to the Modern Portfolio Theory, one comprised of only Sin-stocks and one with only high ESG scoring companies. READ MORE

  6. 25. Bitcoin as an enhancer of performance in an All Weather inspired portfolio

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Kim Ottosson; [2021]
    Keywords : Sharpe Ratio; Modern Portfolio Theory; Bitcoin; Treynor Measure; Optimization; Business and Economics;

    Abstract : The thesis employs a number of tools originating from the field of Modern Portfolio Theory to assess the appropriate weight of Bitcoin in addition to several assets commonly found in the All-Weather Portfolio. Utilizing Sharpe Ratio optimization, the thesis compares two main portfolios to determine if the inclusion of Bitcoin can improve the performance and risk-return ratio of an optimized All Weather Portfolio. READ MORE