Essays about: "aktieindex"

Showing result 1 - 5 of 13 essays containing the word aktieindex.

  1. 1. Measuring the impact of strategic and tactic allocation for managed futures portfolios

    University essay from KTH/Matematisk statistik; KTH/Matematisk statistik

    Author : Alva Engström; Filippa Frithz; [2019]
    Keywords : ;

    Abstract : The optimal asset allocation is an ever current matter for investment managers. This thesis aims to investigate the impact of risk parity and target volatility on the Sharpe ratio of a portfolio consisting of futures contracts on equity indices and bonds during the period 2000-2018. READ MORE

  2. 2. PC Regression, Vector Autoregression, and Recurrent Neural Networks: How do they compare when predicting stock index returns for building efficient portfolios?

    University essay from KTH/Optimeringslära och systemteori; KTH/Optimeringslära och systemteori

    Author : David Hallberg; Erik Renström; [2019]
    Keywords : PC Regression; Vektorautoregression; och Återkopplande Neurala Nätverk: En jämförelse mellan deras förmåga att prognostisera aktieindexavkastning för att konstruera effektiva portföljer; Huvudkomponentregression; vektorautoregression; LSTM; återkopplande neurala nätverk; portföljteori; portföljoptimering; maskininlärning; makroekonomi; finans; aktieavkastning; aktieindex;

    Abstract : This thesis examines the statistical and economic performance of modeling and predicting equity index returns by application of various statistical models on a set of macroeconomic and financial variables. By combining linear principal component regression, vector autoregressive models, and LSTM neural networks, the authors find that while a majority of the models display high statistical significance, virtually none of them successfully outperform classic portfolio theory on efficient markets in terms of risk-adjusted returns. READ MORE

  3. 3. Alternative Methods of Estimating Investor´s Risk Appetite

    University essay from KTH/Matematisk statistik

    Author : Felix Kuritzén; [2019]
    Keywords : Risk appetite; Riskaptit;

    Abstract : In this thesis three risk appetite indexes are derived and measured from the beginning of 2006 to the end of the first quarter in 2019. One of the risk appetite indexes relies on annualized returns and volatilities from risky and safe assets while the others relies on subjective and risk neutral probability distributions. READ MORE

  4. 4. Impact of Time Steps on Stock Market Prediction with LSTM

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

    Author : Carl Bergström; Oscar Hjelm; [2019]
    Keywords : Stock market; efficient market hypothesis; machine learning; neural networks; LSTM; time series.;

    Abstract : Machine learning models as tools for predicting time series have in recent years proven to perform exceptionally well. With financial time series in the form of stock indices being inherently complex and subject to noise and volatility, the prediction of stock market movements has proven to be especially difficult throughout extensive research. READ MORE

  5. 5. Outlier-Robust Dynamic Portfolio Optimization based on Bear-Bull-Regimes

    University essay from Lunds universitet/Matematisk statistik

    Author : Emil Eliasson; Linus Hamlin; [2018]
    Keywords : Mathematics and Statistics;

    Abstract : The work in this thesis is meant to improve an existing algorithm described in Nystrup (2017). As the original model uses a normal distribution to approximate the daily logarithmic returns, the authors of this thesis aim to improve the approximation by using Student’s t-distribution which may be a better approximation of financial data. READ MORE