Essays about: "mathematics of investment"

Showing result 21 - 25 of 32 essays containing the words mathematics of investment.

1. 21. A Study on the Relationship Between a Mutual Fund’s Risk-Adjusted Return and Sustainability : Do Mutual Funds with High Sustainability Scores Outperform Those with Low Ones?

   University essay from KTH/Matematisk statistik

   Author : Frida Värnlund; Max Bacco; [2019]
   Keywords : Applied mathematics; regression analysis; sustainability; mutual funds; Morningstar; Sharpe ratio; ESG; Tillämpad matematik; regressionsanalys; hållbarhet; fonder; Morningstar; riskjusterad avkastning; Sharpe ratio; ESG;

   Abstract : During the past few decades, social responsible investing (SRI) has rapidly grown to become a renowned investment strategy. Because of the contradictory findings on how successful this strategy is in terms of financial return, the aim of this thesis is to compare the performance of sustainable and conventional funds in four different geographical areas during the last three years. READ MORE

3. 22. Clustering and Anomaly Detection in Financial Trading Data

   University essay from Lunds universitet/Matematisk statistik

   Author : Erik Norlander; [2019]
   Keywords : Variational Autoencoder; Generative Models; Latent Space; Dimensionality Reduction; Unsupervised Learning; Anomaly Detection; Clustering; Gaussian Mixture Models; Isolation Forest.; Mathematics and Statistics;

   Abstract : In this thesis we propose a new form of Variational Autoencoder called the Conditional Latent Space Variational Autoencoder or CL-VAE. By conditioning on a known label in a dataset we can decide what points are being mapped to what prior distribution. This makes the latent space more understandable and separates the classes further. READ MORE

4. 23. Anticipated Events’ Impact on FX Options’ Implied Volatility

   University essay from Lunds universitet/Matematisk statistik

   Author : Frej Håkansson; Björn Nilsson; [2018]
   Keywords : Volatility frown; implied volatility; jump model; anticipated event; SABR; FX Options; Mathematics and Statistics;

   Abstract : Understanding events’ impact on financial instruments are crucial for the participants in the financial markets. Here we propose an approach to model an anticipated event’s impact on the prices of FX options, represented in implied volatility. READ MORE

5. 24. A Black-Litterman portfolio allocation model combined with a Markov switching framework

   University essay from Lunds universitet/Matematisk statistik

   Author : Axel Skantze; [2018]
   Keywords : Mathematics and Statistics;

   Abstract : This is a M.Sc. thesis investigating the compatibility and performance of a regime switching framework as a complement to the Black-Litterman portfolio allocation model. Conclusively, it is considered to be a compatible match of models in terms of practical implementation and the results indicate that the model is performing well. READ MORE

6. 25. Structural Modelling of Credit Spreads on the European Bond Market: An Empirical Study

   University essay from Lunds universitet/Matematisk statistik

   Author : Marcus Zethraeus; Magnus Roos; [2017]
   Keywords : Structural models; Merton model; Black Cox model; European corporate bond spreads; Mathematics and Statistics;

   Abstract : This thesis empirically tests the explanatory power of structural models on the European corporate bond market. Using new evaluation methods, including LASSO and gradient boosting regression, we can provide an in-depth assessment of the models’ shortcomings. READ MORE