Essays about: "Multifactor Model"

Showing result 1 - 5 of 24 essays containing the words Multifactor Model.

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. Option pricing with Quadratic Rough Heston Model

   University essay from Uppsala universitet/Sannolikhetsteori och kombinatorik

   Author : Marina Dushkina; [2023]
   Keywords : option pricing; rough volatility models; Heston model; Monte Carlo methods; calibration; quadratic rough Heston model; volatility smile;

   Abstract : In this thesis, we study the quadratic rough Heston model and the corresponding simulation methods. We calibrate the model using real-world market data. We compare and implement the three commonly used schemes (Hybrid, Multifactor, and Multifactor hybrid). We calibrate the model using real-world market SPX data. READ MORE

4. 3. Predicting Equity Fund Returns: The Impact of the Momentum-Factor on Performance

   University essay from KTH/Matematisk statistik

   Author : Pontus Hovberger; Hugo Brunlid; [2023]
   Keywords : Equity Funds; Value; Growth; Momentum; Carhart Four-Factor Model; Multifactor Model; Momentum Crashes; Aktiefonder; Värdeaktier; Tillväxtaktier; Momentum; Carhart Four-Factor Model; Multifaktormodell; Momentumkrascher;

   Abstract : Momentum has been a persistent and robust factor in explaining excess future returns, generating great interest from investors and financial analysts. Following the financial crisis of 2008 and the Covid-19 pandemic, there have been instances of significant momentum crashes. READ MORE

5. 4. Stockholm Stock Exchange and Environmental Rating – A Multifactor Analysis

   University essay from Göteborgs universitet/Graduate School

   Author : Carl Helldén; Julia Lamers; [2022-06-29]
   Keywords : ESG; Environmental; asset pricing models; screening strategies;

   Abstract : The thesis investigates if investors can generate positive abnormal performance by investing in Environmental high-rated stocks on the Stockholm stock exchange based on three screening strategies; positive, negative and best-in-class for value-weighted, long-only and long-short portfolios. The sample is between 2010-2020, using CAPM, Fama-French three factor model and Carhart four factor model. READ MORE

6. 5. Is Sustainability Profitable?

   University essay from Lunds universitet/Företagsekonomiska institutionen

   Author : Nils Betsholtz; Anton Lindström; Edvard Wennerberg; [2020]
   Keywords : ESG; STOXX 600; Fama-French multifactor factor model; CAPM; Carhart four-factor model; Panel data fixed effect; Business and Economics;

   Abstract : This paper examines the relationship between the ESG-score, including its pillars Environment, Social and Governance and market return from July 2002 through June 2018 by using the Stoxx Europe 600 index. The comparison is done by applying a portfolio approach and panel data fixed effect approach. READ MORE