Essays about: "dynamic portfolios"
Showing result 11 - 15 of 27 essays containing the words dynamic portfolios.
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11. Multiple factor models for equities : An empirical study of the performance of factor mimicking portfolios
University essay from Umeå universitet/Institutionen för matematik och matematisk statistikAbstract : The trade-off between risk and return for equities has long been a challenge for portfolio and risk managers in order to create financial success and stability. This issue has led to several researchers trying to explain equity returns through various factor models. READ MORE
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12. Factor Sensitivities to Alternative Macroeconomic Environments
University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiAbstract : In this thesis, we examine how different factors are exposed to alternative macroeconomic environments. We apply a range of different approaches in order to explore these relationships. Firstly, we analyse mean excess returns and Sharpe ratios of factors in different macroeconomic regimes. READ MORE
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13. Investment in Value: A Copula Approach
University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiAbstract : We evaluate how factor equity strategies are optimally combined, focusing on the role of the value factor (HML) against the background of a recent academic discussion about its potential redundancy, and the discovery of the investment (CMA) and profitability (RMW) factors. The analysis is centered around a conditional joint return distribution from a dynamic copula model, which allows for simulation with a time-varying and non-normal dependence structure. READ MORE
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14. Earnings Surprises and the Cross-Section of Stock Returns
University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiAbstract : Do earnings surprises affect stock prices during the subsequent quarter? If so, what is the estimated impact, and to what extent can it be clearly distinguished from other factors? To answer these questions we build ten dynamic portfolios in which the companies are continuously reallocated according to their latest earnings surprise. A cross-sectional regression based on these portfolios indicates a distinct albeit nonlinear effect of the earnings surprise. READ MORE
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15. Does copula beat linearity? : Comparison of copulas and linear correlation in portfolio optimization.
University essay from Umeå universitet/Institutionen för matematik och matematisk statistikAbstract : Modern portfolio theory (MPT) is an investment theory which was introduced by Harry Markowitz in 1952 and describes how risk averse investors can optimize their portfolios. The objective of MPT is to assemble a portfolio by maximizing the expected return given a level of market risk or minimizing the market risk given an expected return. READ MORE
