Essays about: "Portfolio Construction"

Showing result 1 - 5 of 67 essays containing the words Portfolio Construction.

1. 1. Analyst Recommendations and Stock Returns Evaluating the performance of Nordic markets based on analyst consensus recommendations, and the impact of MiFID II

   University essay from

   Author : Carl Wallquist; Endrit Zymeri; [2023-07-03]
   Keywords : Stock recommendations; analyst performance; portfolio construction; rebalancing; regulation MiFID II; trading strategies;

   Abstract : This study evaluates the performance of equity analysts who cover publicly traded stocks in the Nordic markets. To assess their performance, we employ a method that involves creating daily rebalanced portfolios based on the consensus recommendation for each covered company over four years. READ MORE

3. 2. The Challenges of Sustainable Investing

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Herman Rönnberg; Filip Björkholm; [2023]
   Keywords : ESG; sin stocks; Sustainable investing; Russell 3000; Portfolio Construction; Business and Economics;

   Abstract : Over the past decades, investment preferences towards portfolio construction have changed from focusing solely on profit maximization, into a combination of good financial perfor- mance as well as a responsible sustainability outcome. The purpose of this paper is three- fold: first, to investigate whether a sustainable portfolio based on a high environmental, social and governance (ESG) score contributes to positive returns or affects financial per- formance negatively. READ MORE

4. 3. The Power of the Tides : A Quantitative Study Investigating the Momentum Strategy with 30 Industries

   University essay from Jönköping University/IHH, Företagsekonomi

   Author : Oscar Estéen; Jonathan Landahl; Hugo Karlsson; [2023]
   Keywords : Momentum strategy; industry momentum; risk management; market anomalies; momentum investing; portfolio management;

   Abstract : Background: Buying past winners and selling past losers has historically generated both profits and losses. The momentum strategy has been researched with risk measures and portfolio creation as fundamental components. READ MORE

5. 4. Sustainable investing in the Nordics : A comparative analysis of ESG portfolios

   University essay from Umeå universitet/Företagsekonomi

   Author : Linus Gustavsson; Marcus Andersson; [2023]
   Keywords : ESG rating; ESG investing; Factor investing; Nordic ESG financial performance; sustainable finance;

   Abstract : Sustainability has become a pressing global issue due to environmental and social challenges caused by human activity which has led to a rise in sustainable investing, including ESG investing. Research on financial performance and sustainable investing have not only showed mixed results, but they are also generally conducted in greater markets such as the US, Europe, and Asia-pacific markets. READ MORE

6. 5. A Multi-Level Extension of the Hierarchical PCA Framework with Applications to Portfolio Construction with Futures Contracts

   University essay from KTH/Matematisk statistik

   Author : Kajsa Bjelle; [2023]
   Keywords : Portfolio construction; asset allocation; principal component analysis; hierarchical principal component analysis; hierarchical shrinkage; eigenportfolio risk; Portföljkonstruktion; tillgångsallokering; principalkomponentanalys; hierarkisk principalkomponentanalys; hierarkisk krympning; egenportföljrisk;

   Abstract : With an increasingly globalised market and growing asset universe, estimating the market covariance matrix becomes even more challenging. In recent years, there has been an extensive development of methods aimed at mitigating these issues. READ MORE