Essays about: "Skewness and Kurtosis"

Showing result 1 - 5 of 28 essays containing the words Skewness and Kurtosis.

  1. 1. Considering Tail Events in Hedge Fund Portfolio Optimization

    University essay from Linköpings universitet/Produktionsekonomi

    Author : Josefin Bladh; Holm Greta; [2021]
    Keywords : Portfolio Optimization; Hedge Funds; Tail Events; Mean-CVaR;

    Abstract : The Fourth Swedish National Pension Fund (AP4), as well as many other large investors, has noted deficiencies the Mean-Variance framework for portfolio management of asset with non-normal characteristics. The main problem apparent in the Mean-Variance framework, when investing in alternative assets such as hedge funds, is the lacking systematic control of the balance between the measurements of risk due normal variation and tail-risk. READ MORE

  2. 2. Downside risk: is downside risk being priced in the U.S. stock market?

    University essay from

    Author : Raouf Bahsoun; Arsalan Hakimi; [2020-07-06]
    Keywords : Excess kurtosis; skewness; Value-at-Risk; Expected shortfall; semi deviation; downside beta; Sortino ratio; Fama-French three-factor model; Fama French Five Factor model; Carhart four-factor model; q-four factor model; q-five factor model; asset pricing; U.S. stock market;

    Abstract : This paper aims to add further research to the field of downside risk, and downside risk measures’ influence on the average returns in the U.S. stock market. READ MORE

  3. 3. The personalization-privacy paradox: personalized ads on social media : Exploring invasive ads on social media, in relation to perceived usefulness, consumer privacy and trust

    University essay from Linnéuniversitetet/Institutionen för marknadsföring (MF); Linnéuniversitetet/Institutionen för marknadsföring (MF)

    Author : Oliver Hillqvist; Amanda Johnsson Östergren; [2020]
    Keywords : Privacy; trust; social media; invasiveness; usefulness; personalized marketing;

    Abstract : Background: In the realm of online digital marketing, personalization tailored around the user’s interests are becoming the norm. It is becoming more and more challenging for marketers to get the attention of relevant consumers and get heard through all the noise. READ MORE

  4. 4. Evaluating machine learning methods for detecting sleep arousal

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

    Author : Anton Ivarsson; Jacob Stachowicz; [2019]
    Keywords : Machine learning; Sleep Arousal; Polysomnography; Automatic Detection; Bachelors Thesis; Big Data; Maskininlärning; Sömnstörningar; Polysomnografi; Automatisk Detektion; Kandidatuppsats; Big Data;

    Abstract : Sleep arousal is a phenomenon that affects the sleep of a large amount of people. The process of predicting and classifying arousal events is done manually with the aid of certified technologists, although some research has been done on automation using Artificial Neural Networks (ANN). READ MORE

  5. 5. Merton Jump-Diffusion Modeling of Stock Price Data

    University essay from Linnéuniversitetet/Institutionen för matematik (MA)

    Author : Furui Tang; [2018]
    Keywords : Black-Scholes Model; Poisson Process; Compound Poisson Process; Merton Jump-Diffusion Model;

    Abstract : In this thesis, we investigate two stock price models, the Black-Scholes (BS) model and the Merton Jump-Diffusion (MJD) model. Comparing the logarithmic return of the BS model and the MJD model with empirical stock price data, we conclude that the Merton Jump-Diffusion Model is substantially more suitable for the stock market. READ MORE