Essays about: "Riskstrategier"

Found 1 essay containing the word Riskstrategier.

  1. 1. 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