Essays about: "downside deviation"

Showing result 1 - 5 of 6 essays containing the words downside deviation.

  1. 1. ESG and Risk-Adjusted Performance : A study on equity funds under Swedish management during the COVID-19 pandemic

    University essay from Södertörns högskola/Nationalekonomi

    Author : Clarissa Mao; Jawid Safa; [2022]
    Keywords : Socially responsible investment; ESG; Risk-adjusted performance; portfolio risk and standard deviation;

    Abstract : This research study examines the risk-adjusted performance and portfolio risk of 60 large cap equity funds - mutual funds - under Swedish management. These funds apply environmental, social and governance criteria in their investment strategies. READ MORE

  3. 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

  4. 3. Downside deviation as a measure of identifying underperforming assets

    University essay from KTH/Skolan för teknikvetenskap (SCI)

    Author : Alfred Askeljung; Andreas Möller; [2020]
    Keywords : ;

    Abstract : Quantitative approaches to achieving excess return are becoming increasingly popular as computational capabilities increase. Today, the main issue at hand is the development of accurate and reliable models for predicting the return of individual instruments. READ MORE

  5. 4. A Performance Evaluation of Black Swan Investments.

    University essay from Göteborgs universitet/Institutionen för nationalekonomi med statistik

    Author : Fabian Brunåker; Andreas Nordqvist; [2013-07-04]
    Keywords : Black Swans; fat tails; standard deviation; mean reversion; investment strategy; downside deviation; extreme market movements;

    Abstract : This thesis evaluates an investment strategy that involves investing in ten out of the 30 most traded stocks listed on the Stockholm Stock Exchange, exploiting the market’s reaction to unpredicted events, so called Black Swans. By investing in ten of the stocks with the largest price change after days with extreme negative returns and ten of the stocks with the least change in price after extreme positive returns, the strategy outperforms the market. READ MORE

  6. 5. A Heuristic Downside Risk Approach to Real Estate Portfolio Structuring : a Comparison Between Modern Portfolio Theory and Post Modern Portfolio Theory

    University essay from KTH/Bygg- och fastighetsekonomi

    Author : Erik Hamrin; [2011]
    Keywords : Portfolio Optimization; Real Estate; Downside Risk; Mean Variance; MPT; PMPT; Semivariance; Standard Deviation.;

    Abstract : Portfolio diversification has been a subject frequently addressed since the publications of Markowitz in 1952 and 1959. However, the Modern Portfolio Theory and its mean variance framework have been criticized. The critiques refer to the assumptions that return distributions are normally distributed and the symmetric definition of risk. READ MORE