Essays about: "aktieindex"
Showing result 6 - 10 of 19 essays containing the word aktieindex.
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6. Coronavirus-Related Sentiment and Stock Prices : Measuring Sentiment Effects on Swedish Stock Indices
University essay from KTH/Fastigheter och byggandeAbstract : This thesis examines the effect of coronavirus-related sentiment on Swedish stock market returns during the coronavirus pandemic. We study returns on the large cap and small cap price indices OMXSLCPI and OMXSSCPI during the period January 2, 2020 – April 30, 2020. READ MORE
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7. Measuring the impact of strategic and tactic allocation for managed futures portfolios
University essay from KTH/Matematisk statistikAbstract : 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
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8. 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 systemteoriAbstract : 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
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9. Alternative Methods of Estimating Investor´s Risk Appetite
University essay from KTH/Matematisk statistikAbstract : 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
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10. Impact of Time Steps on Stock Market Prediction with LSTM
University essay from KTH/Skolan för elektroteknik och datavetenskap (EECS)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