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Showing result 1 - 5 of 20 essays matching the above criteria.

1. 1. Multi-factor approximation : An analysis and comparison ofMichael Pykhtin's paper “Multifactor adjustment”

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

   Author : Michael Zanetti; Philip Güzel; [2023]
   Keywords : Credit risk; Value at Risk; Expected Shortfall; Monte Carlo simulation; Advanced Internal Rantings-Based models; Kreditrisk; Value at Risk; Expected Shortfall; Monte Carlo simulation; Advanced Internal Rantings-Based-modeller;

   Abstract : The need to account for potential losses in rare events is of utmost importance for corporations operating in the financial sector. Common measurements for potential losses are Value at Risk and Expected Shortfall. These are measures of which the computation typically requires immense Monte Carlo simulations. READ MORE

3. 2. Performance of Small- and Large-cap stock portfolios- The importance of market anomalies across business cycles

   University essay from Göteborgs universitet/Graduate School

   Author : Erik Hulth; [2021-06-30]
   Keywords : Stock performance; Market anomalies; Asset pricing; Portfolio sorting techniques; Factor-portfolio sorting techniques; Value effect; Size effect; Momentum effect; Temporal influences; Business cycles; GDP-gap; Single-and Multi- Factor models; CAPM; Fama-French Three-Factor model; Carhart Four-Factor model; Risk-adjusted equity returns; Sharpe Ratio; Jensen´s alpha; NASDAQ OMX and NYSE;

   Abstract : This Master´s thesis investigated the importance of the market anomalies size (market capitalization), value (Book-to-Market ratio) and momentum (lagged short-term momentum) for equity returns of small- and large-cap composite stock portfolios. The study focused on two contrasting stock markets (NASDAQ OMX and NYSE) across domestic business cycles over the time-period 2006 to 2021. READ MORE

4. 3. An Empirical Study of Autoencoder Asset Pricing Models and the Impact of Arbitrage Constraints

   University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Author : Benjamin von Essen; Haohang Wu; [2021]
   Keywords : Empirical asset pricing; Conditional asset pricing model; Machine learning; Arbitrage; Multi-factor model;

   Abstract : Following Gu et al. (2021), we implement a state-of-the-art machine learning asset pricing model, the conditional autoencoder, to capture the time-varying interactions between observable stock characteristics and factor loadings, while simultaneously extracting latent factors from stock returns. READ MORE

5. 4. Analysis of differentially expressed genes (DEGs) in neuronal cells from the cerebral cortex of Alzheimer’s disease mouse model

   University essay from Högskolan i Skövde/Institutionen för biovetenskap

   Author : Elnaz Bakhtiyari; [2020]
   Keywords : ;

   Abstract : Alzheimer’s disease (AD) is an aging-related neurodegenerative disorder with large implications for society and individuals. AD is a multi-factor disorder, with these factors having a direct or indirect correlation with each other. READ MORE

6. 5. Carb-on or Carb-off? : Carbon-intensive stocks' performance in an age of socially responsible investing

   University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Author : Fredrik Westergård; August Wigh; [2020]
   Keywords : carbon stocks; carbon-intensive stocks; emission stocks; socially responsible investing; sin investing;

   Abstract : This study investigates the performance of carbon-intensive stocks in the United States and provides evidence of abnormal returns between 2000 and 2019. However, these abnormal returns are isolated to the period 2000 to 2002 which coincides with the Dot-com crash. READ MORE