Essays about: "model performance Portfolio"

Showing result 1 - 5 of 209 essays containing the words model performance Portfolio.

  1. 1. Beyond Profits: Exploring the Investment Styles and Risk-Adjusted Returns of ESG-Driven Portfolios

    University essay from

    Author : Alexander Olsson; Jonathan Taimory; [2023-07-06]
    Keywords : Risk-adjusted Returns; Investment Styles; Environmental; Social and Governance ESG ;

    Abstract : This study uses daily data to examine how different ESG implementations affect performance and portfolio characteristics. With a non-homogenous view of how ESG investing is defined, ten different value-weighted portfolios are constructed. The geographical focus is the US market, with the S&P 500 total return index (SPXTR) as the screening universe. READ MORE

  3. 2. Unveiling the Impact of ESG Ratings on Risk-Adjusted Returns : Evidence from European Companies

    University essay from Uppsala universitet/Företagsekonomiska institutionen

    Author : David Melin; Otta Alexander; [2023]
    Keywords : ESG; Sustainability; Risk-adjusted return; Risk factor; Factor model; Portfolio; Europe;

    Abstract : This study uses a sample of 600 companies from Europe to investigate the risk-adjusted returns of four portfolios with high and low ESG ratings between 2011 and 2021. Four asset pricing models and additional measures for risk and return are tested on different portfolio weights. READ MORE

  4. 3. Robust Portfolio Optimization with Correlation Penalties

    University essay from KTH/Matematisk statistik

    Author : Pelle Nydahl; [2023]
    Keywords : Portfolio Optimization; Portfolio Allocation; Robust Optimization; Correlation; Risk Factor Model; EMA Filtering; Weighted Linear Regression; Portföljoptimering; Portföljallokering; Robust optimering; Korrelation; Riskfaktor-modell; EMA-filtrering; Viktad linjär regression;

    Abstract : Robust portfolio optimization models attempt to address the standard optimization method's high sensitivity to noise in the parameter estimates, by taking an investor's uncertainty about the estimates into account when finding an optimal portfolio. In this thesis, we study robust variations of an extension of the mean-variance problem, where an additional term penalizing the portfolio's correlation with an exogenous return sequence is included in the objective. READ MORE

  5. 4. Predicting the Movement of the S&P 500 Index using Machine Learning

    University essay from Lunds universitet/Nationalekonomiska institutionen; Lunds universitet/Statistiska institutionen

    Author : Bakary Bah; [2023]
    Keywords : Machine Learning; S P 500 Index; Random Forest; Logistic Regression; Business and Economics;

    Abstract : Predicting the stock market has been a longstanding topic of interest in financial research. It is regarded as a highly challenging but important task given the vital role the financial markets play in shaping the global economies. In this thesis, the goal is to predict the movement of the S&P 500 Index using machine learning methods. READ MORE

  6. 5. Can Machine Be a Good Stock Picker?: Bridging the Gap between Fundamental Data and Machine Learning

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Tomoya Narita; Povilas Stankevicius; [2023]
    Keywords : Machine Learning; XGBoost; Relative Valuation; Convergence Trade;

    Abstract : We investigate the efficacy of historical accounting data and consensus forecasts for relative valuation of stocks, employing tree-based machine learning methods. We run an XGBoost model for monthly cross-sections of financial and pricing data of US equities from 1984 to 2021. READ MORE