Essays about: "Parametric portfolio policy"
Found 4 essays containing the words Parametric portfolio policy.
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1. Parametric portfolio policies with ESG -There is no cost
University essay from Göteborgs universitet/Graduate SchoolAbstract : We propose an investment strategy with the potential for investors to gain a stronger environmental, social, and corporate governance (ESG) profile without a negative impact on performance. Specifically, we study the performance of a parametric portfolio policy when utilizing ESG score and ESG momentum characteristics in addition to value and momentum, in contrast to utilizing value and momentum only. READ MORE
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2. ESG INTEGRATION: ESG SCORE MOMENTUM FACTOR AS ASSET CHARACTERISTIC AND OPTIMAL PARAMETRIC PORTFOLIO - AN EMPIRICAL RESULT OF THE US STOCK MARKET.
University essay from Göteborgs universitet/Graduate SchoolAbstract : Sustainable finance has become the rising concern of the global markets. The term ESG investment has been discussed in many international forums. The number of ESG investment assets and ESG investment products is increasing continuously. READ MORE
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3. Star Vars: Finding the optimal Value-at-Risk approach for the banking industry
University essay from Lunds universitet/Nationalekonomiska institutionenAbstract : This paper explores the concept of Value-at-Risk (VaR) through a comparative study of nonparametric and parametric models in order to find the best risk model for banks’ trading portfolios. The non-parametric methods consist of three different approaches: Simple Historical Simulation, Age Weighted Historical Simulation and Volatility Weighted Historical Simulation by means of the EWMA and GARCH models for forecasting volatility. READ MORE
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4. Estimation of the market risk exposure of Vietnamese banks’ portfolios using VaR approach
University essay from Lunds universitet/Nationalekonomiska institutionenAbstract : This paper analyses the effectiveness of different methods to estimate Value-at-Risk (VaR) of VN-index, proxy of a Vietnamese bank’s portfolio. Both parametric and non-parametric approaches are employed to estimate daily VaRs for two sets of data, one of those sets is 8 months behind the other. READ MORE