Essays about: "Robust Skewness"

Showing result 1 - 5 of 11 essays containing the words Robust Skewness.

  1. 1. Robust Portfolio Optimization with Correlation Penalties

    University essay from KTH/Matematisk statistik

    Author : Pelle Nydahl; [2023]
    Keywords : Portfolio Optimization; Portfolio Allocation; Robust Optimization; Correlation; Risk Factor Model; EMA Filtering; Weighted Linear Regression; Portföljoptimering; Portföljallokering; Robust optimering; Korrelation; Riskfaktor-modell; EMA-filtrering; Viktad linjär regression;

    Abstract : Robust portfolio optimization models attempt to address the standard optimization method's high sensitivity to noise in the parameter estimates, by taking an investor's uncertainty about the estimates into account when finding an optimal portfolio. In this thesis, we study robust variations of an extension of the mean-variance problem, where an additional term penalizing the portfolio's correlation with an exogenous return sequence is included in the objective. READ MORE

  3. 2. Incorporating Climate Change in the Eurosystem's Corporate Sector asset purchases : Design of a Climate Change Score

    University essay from KTH/Hållbar utveckling, miljövetenskap och teknik

    Author : Maxime Barthe; [2022]
    Keywords : Climate change score; Corporate sector; Asset purchases; Eurosystem; Klimatrelaterade betyg; Företagssektorn; Tillgångsköp; Eurosystemet;

    Abstract : The new European Central Bank’s strategy review, unveiled in July 2021, has placed climate change at the core of its new monetary policy strategy. As climate change affects price stability through physical and transition risks, climate change considerations belong to the Eurosystem’s primary mandate. READ MORE

  4. 3. The Performance of Stocks Earning Extreme Single-Day Returns: Evidence from Sweden

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Dominik Schleuss; Tavish Gantz; [2021]
    Keywords : MAX Effect; Extreme returns; Cross-section of returns; Lottery-like payoffs; Behavioral Finance;

    Abstract : In 2011, Bali et al. presented evidence that stocks with extreme one and multi day-returns significantly underperform stocks with less extreme returns in the following month. They attributed this to investors exhibiting a preference for stocks with lottery-like payoffs. READ MORE

  5. 4. Sort Merge Buckets: Optimizing Repeated Skewed Joins in Dataflow

    University essay from KTH/Skolan för elektroteknik och datavetenskap (EECS)

    Author : Andrea Nardelli; [2019]
    Keywords : ;

    Abstract : The amount of data being generated and consumed by today’s systems and applications is staggering and increasing at a vertiginous rate. Many businesses and entities rely on the analysis and the insights gained from this data to deliver their service. READ MORE

  6. 5. VIX ETPs as Portfolio Diversifiers

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Nils Hartung von Hartungen; Michael Katzdobler; [2017]
    Keywords : VIX; ETPs; Mean-Variance Spanning; Mean-Variance Criterion; Multi-Objective Portfolio Selection;

    Abstract : This paper studies whether the popularity of VIX ETPs can be explained by their suitability as portfolio diversifiers for retail investors having access to a typical set of ETFs. We first carry out an analysis from the perspective of investors with a quadratic utility function by employing the mean-variance spanning test and the mean-variance criterion. READ MORE