Essays about: "Multi Factor Model"

Showing result 1 - 5 of 77 essays containing the words Multi Factor Model.

  1. 1. Arbitrage Pricing Theory: A study on the Stockholm Stock

    University essay from Göteborgs universitet/Institutionen för nationalekonomi med statistik

    Author : Richard Johansson; Pierre Petersson; [2019-03-01]
    Keywords : Arbitrage Pricing Theory; APT; Stockholm Stock Exchange; Macroeconomic Factors; Multi Factor Model;

    Abstract : This thesis investigates the macroeconomic factors that affect the returns on the different portfolios in Stockholm Stock Exchange by using Arbitrage Pricing Theory (Stephen Ross 1976). We use the portfolios of Large Cap, Mid Cap, Small Cap, and All Caps. Specifically, multiple index model is used. The sample period is 2012-2017. READ MORE

  2. 2. 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

  3. 3. Sustainable Investment Strategies : A Quantitative Evaluation of Sustainable Investment Strategies For Index Funds

    University essay from Umeå universitet/Institutionen för matematik och matematisk statistik; Umeå universitet/Institutionen för matematik och matematisk statistik

    Author : John Erikmats; Johan Sjösten; [2019]
    Keywords : ESG; CSR; investment strategies; sustainable investment strategies; sustainability; sustainable investments; sustainable finance; index funds; tracking-error; tracking-error minimization; ESG; CSR; investeringsstrategier; hållbara investeringsstrategier; hållbarhet; hållbara investeringar; hållbar finans; indexfonder; tracking-error; minimering av tracking-error;

    Abstract : Modern society is faced with the complex and intractable challenge of global warming, along with other environmental issues that could potentially alter our way of life if not managed properly. Is it possible that financial markets and equity investors could have a huge part to play in the transformation towards a greener and more sustainable world? Previous studies about investment strategies regarding sustainability have for the most part been centered around possibly less objective ESG-scores or around carbon and GHG-emissions only, with little or no consideration for water usage and waste management. READ MORE

  4. 4. Maximum Predictability Portfolio Optimization

    University essay from KTH/Matematik (Avd.)

    Author : Nazim Huseynov; [2019]
    Keywords : Portfolio optimization; linear programming; multi-factor model; Portföljoptimering; linjär optimering; multifaktormodell;

    Abstract : Harry Markowitz work in the 50’s spring-boarded modernportfolio theory. It gives investors quantitative tools to compose and assessasset portfolios in a systematic fashion. The main idea of the Mean-Varianceframework is that composing an optimal portfolio is equivalent to solving aquadratic optimization problem. READ MORE

  5. 5. Nitrogen Uptake by Vegetation in the Wakkerstroom Wetland, South Africa

    University essay from Uppsala universitet/Institutionen för geovetenskaper

    Author : Emma Dufbäck; [2019]
    Keywords : nitrogen uptake; NPP; wetland; Multi-angle Imaging SpectroRadiometer MISR ; Light Use Efficiency LUE ; remote sensing; Phragmites australis; Typha capensis; South Africa; kväveupptag; NPP; våtmark; Multi-angle Imaging SpectroRadiometer MISR ; Light Use Efficiency LUE ; fjärranalys; Phragmites australis; Typha capensis; Sydafrika;

    Abstract : The lack of proper wastewater treatment inhibits the social and economic development in many communities. The South African town Wakkerstroom is an example where wastewater is first treated before it is released. READ MORE