Essays about: "Return to Risk Ratio"

Showing result 16 - 20 of 147 essays containing the words Return to Risk Ratio.

1. 16. Active versus Passive fund performance : A quantitative study in risk-adjusted return between actively and passively managed equity funds from 2010 until 2021 including the COVID-19 pandemic

   University essay from Jönköping University/IHH, Nationalekonomi

   Author : Albert Karlsson; Samuel Krantz; [2022]
   Keywords : ;

   Abstract : The following paper is a quantitative study that examine whether actively managed equity funds have a higher risk-adjusted return than index funds. The study uses the performance measurement Sharpe ratio to determine the risk-adjusted return for the funds. The time-period of the examination was between January 2010 until December 2021. READ MORE

3. 17. Evaluation of portfolio optimization methods on decentralized assets and hybridized portfolios

   University essay from KTH/Matematik (Avd.)

   Author : Reza Salam Dalfi; Noel Mattar; [2022]
   Keywords : Traditional assets; DeFi; Cryptocurrencies; CVAR; FLPM; MSV; Portfolio; Optimization; Risk measurements; Traditionella tillgångar; DeFi; Cryptocurrencies; CVAR; FLPM; MSV; Portfölj optimering; Riskmått;

   Abstract : The market for decentralised financial instruments, more commonly known as cryptocurrencies, has gained momentum over the past recent years and the application areas are many. Modern portfolio theory has for years demonstrated its applicability to traditional assets, such as equities and other instruments, but to some extent omitted the application of mathematical portfolio theory with respect for cryptocurrencies. READ MORE

4. 18. Residual Momentum and Volatility – Managed Portfolios : A Study on the Swedish Equity Market

   University essay from KTH/Fastighetsföretagande och finansiella system

   Author : Erik Huss; Mario Ishak; [2022]
   Keywords : Residual Momentum; Volatility Management; Asset Pricing; Volatility Scaling; Momentum; Transaction Costs; Idiosynkratiskt Momentum; Riskstrategier; Tillgångsprissättning; Momentum; Transaktionskostnader;

   Abstract : In this paper, we present empirical results from the Swedish equity market when testingdifferent strategies aiming at enhancing the performance of a momentum strategy, over a timeperiod from 2000 to 2021. Similar to research conducted on other markets, we find theexistence of a momentum premium on the Swedish equity market, but with a return that is fattailed and negatively skewed. READ MORE

5. 19. Negative Screening : an analysis of the cost or benefit related to screening on industries

   University essay from Uppsala universitet/Företagsekonomiska institutionen

   Author : Elin Kristoffersson; Noël Klarberg; [2022]
   Keywords : Sustainable finance; ESG; negative screening; industries; risk-adjusted return; cost; benefit; portfolio performance; CAPM; Fama-French; Carhart; Sharpe ratio;

   Abstract : This thesis studies the increasingly prevalent concept of sustainability in a financial context. Specifically, the question as to whether negative screening implies a cost or a benefit from an investor perspective is derived from past research’s inconclusive findings. READ MORE

6. 20. Portfolio Optimization – Bitcoin & Downside Risk

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Vilgot Kraft; [2022]
   Keywords : Bitcoin; Portfolio Optimization; Conditional Value-at-Risk; Sharpe Ratio; Downside Risk; Business and Economics;

   Abstract : The purpose of this paper is to analyze how the inclusion of cryptocurrency, specifically Bitcoin, affects downside risk in a diversified portfolio. The analysis utilizes a number of performance measures and combines Modern Portfolio Theory with a Post-Modern Portfolio Theory optimization in order to evaluate different portfolios. READ MORE