Essays about: "modern portfolio theory"

Showing result 1 - 5 of 45 essays containing the words modern portfolio theory.

  1. 1. The Debt-Equity Dilemma : An analysis of the co-movement between Swedish stocks and bonds

    University essay from Umeå universitet/Företagsekonomi; Umeå universitet/Företagsekonomi

    Author : Adam Gustafsson; Frida Nilsson Viberg; [2019]
    Keywords : Co-movements; Stock Market; Bond Market; Capital Structure; Shareholders; Stakeholders;

    Abstract : Throughout the last century there has been an extensve discussion regarding the optimal capital structure.Excessive research has further been conducted to understand the relationbetween the market debt and equity on an aggregated market-level. However, it is observed that the research on thefirm-specific co-movement of stock and bondsis scarce. READ MORE

  2. 2. Sustainable Investment Strategies : A Quantitative Evaluation of Sustainable Investment Strategies For Index Funds

    University essay from Umeå universitet/Institutionen för matematik och matematisk statistik; Umeå universitet/Institutionen för matematik och matematisk statistik

    Author : John Erikmats; Johan Sjösten; [2019]
    Keywords : ESG; CSR; investment strategies; sustainable investment strategies; sustainability; sustainable investments; sustainable finance; index funds; tracking-error; tracking-error minimization; ESG; CSR; investeringsstrategier; hållbara investeringsstrategier; hållbarhet; hållbara investeringar; hållbar finans; indexfonder; tracking-error; minimering av tracking-error;

    Abstract : Modern society is faced with the complex and intractable challenge of global warming, along with other environmental issues that could potentially alter our way of life if not managed properly. Is it possible that financial markets and equity investors could have a huge part to play in the transformation towards a greener and more sustainable world? Previous studies about investment strategies regarding sustainability have for the most part been centered around possibly less objective ESG-scores or around carbon and GHG-emissions only, with little or no consideration for water usage and waste management. READ MORE

  3. 3. ESG investing in the Eurozone : Portfolio performance of best-effort and best-in-class approaches

    University essay from Umeå universitet/Företagsekonomi; Umeå universitet/Företagsekonomi

    Author : Kajsa Andersson; Simon Mårtensson; [2019]
    Keywords : ESG; sustainable finance; sustainable investing; portfolio performance; risk-adjusted returns; abnormal returns;

    Abstract : The last decades have seen a rapid increase of sustainable investing, also known as ESG (Environmental, Social and Governance) investing. There has also been an increasing body of academic literature devoted to whether investors can gain any financial benefits from taking ESG under consideration. READ MORE

  4. 4. Maximum Predictability Portfolio Optimization

    University essay from KTH/Matematik (Avd.)

    Author : Nazim Huseynov; [2019]
    Keywords : Portfolio optimization; linear programming; multi-factor model; Portföljoptimering; linjär optimering; multifaktormodell;

    Abstract : Harry Markowitz work in the 50’s spring-boarded modernportfolio theory. It gives investors quantitative tools to compose and assessasset portfolios in a systematic fashion. The main idea of the Mean-Varianceframework is that composing an optimal portfolio is equivalent to solving aquadratic optimization problem. READ MORE

  5. 5. The Moat of Finance : Does Complexity Reward the Private Investor?

    University essay from KTH/Fastigheter och byggande; KTH/Fastigheter och byggande

    Author : Johan Svanberg; Daniel Max; [2019]
    Keywords : Price to Earning; Price to Book; Dividend Yield; Multi-ratio Strategies; Efficient Market Hypothesis; Modern Portfolio Theory; Excess Returns; Alpha and Stockholm Stock Market.;

    Abstract : This paper evaluates the ability of single and multi-ratio investment strategies, such as P/E, P/B, Magic Formula and Piotroski F-score, to generate excess returns and positive alpha values on the Stockholm Stock Market. Performances of the strategies tested are compared to the Stockholm Stock Market as a whole, also known as the index “OMXSPI”. READ MORE