Essays about: "Sharpe s ratio"
Showing result 1 - 5 of 85 essays containing the words Sharpe s ratio.
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1. Predicting the Movement of the S&P 500 Index using Machine Learning
University essay from Lunds universitet/Nationalekonomiska institutionen; Lunds universitet/Statistiska institutionenAbstract : Predicting the stock market has been a longstanding topic of interest in financial research. It is regarded as a highly challenging but important task given the vital role the financial markets play in shaping the global economies. In this thesis, the goal is to predict the movement of the S&P 500 Index using machine learning methods. READ MORE
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2. The Performance of Growth Stocks Compared to Value Stocks : – A Study Conducted on the Swedish and Danish Stock Market
University essay from Jönköping University/Internationella HandelshögskolanAbstract : Background: Most investors strive to achieve the same goal with their investments, maximize returns and profits. However, the approach deviates as there are many alternatives on the stock markets. Preferences such as the amount of risk also influences an investor’s selection of stocks. READ MORE
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3. Evaluating the Effect of Meta-Labeling on Equity Market Neutral Strategy
University essay from Lunds universitet/Statistiska institutionenAbstract : This thesis aims to construct an Equity Market Neutral (EMN) strategy framework to predict intraday excess returns of stocks within the S&P 500 index by utilizing machine learning techniques proposed by (López de Prado, 2018). The constructed EMN strategies within the framework utilizes techniques such as Stacked Single Feature Importance (SSFI), sample weighting, Probabilistic Sharpe Ratio (PSR), and meta-labeling. READ MORE
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4. The power of purpose: How ESG subcategories drive financial performance : A comprehensive analysis using the Fama-French Five-Factor model
University essay from Linnéuniversitetet/Institutionen för management (MAN)Abstract : ESG investing is a hot subject in today’s world with socially responsible investments under management reaching 35.3 trillion in the beginning of 2020. Corporations today are highly affected by social and government pressure to take on corporate social responsibility. READ MORE
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5. An Artificial Neural Network Approach to Algorithmic Trading
University essay from Lunds universitet/Matematisk statistikAbstract : The field of machine learning has advanced significantly in recent decades, and, at the same time, computational power has improved to the point where training large machine learning models, such as artificial neural networks, is now accessible. Consequently, there has been a rise in the use of these models within the financial sector, with some firms leveraging them to assist with investment decisions. READ MORE