Essays about: "out-of-sample"

Showing result 16 - 20 of 172 essays containing the word out-of-sample.

  1. 16. Forecasting monthly LME Copper returns

    University essay from Göteborgs universitet/Graduate School

    Author : Nils Lervik; Philip Thorsell; [2022-06-29]
    Keywords : ;

    Abstract : We evaluate if monthly LOCADY returns on the London Metal Exchange can be accurately predicted one, two and three months ahead. In total ten models are constructed using time-varying parameters and bandwidth optimization. READ MORE

  3. 17. Portfolio Performance Analysis: Combining Cryptocurrencies with Traditional Assets

    University essay from Göteborgs universitet/Graduate School

    Author : Mihail Huzun; [2022-06-29]
    Keywords : Cryptocurrencies; Bitcoin; Ethereum; Ripple; Litecoin; Portfolio Strategies; Diversification Benefits; Markowitz;

    Abstract : This paper investigates the role of cryptocurrencies in enhancing the performance of portfolios constructed with traditional assets. Therefore, my thesis wants to ascertain if investors should consider adding cryptocurrencies to their investment portfolios. The sample period covers almost seven years of daily data. READ MORE

  4. 18. Parametric portfolio policies with ESG -There is no cost

    University essay from Göteborgs universitet/Graduate School

    Author : Raihan Hasan; Otilia Esping; [2022-06-29]
    Keywords : Sustainable investment; ESG; Parametric portfolio policy; Generalized autoregressive score GAS ;

    Abstract : We propose an investment strategy with the potential for investors to gain a stronger environmental, social, and corporate governance (ESG) profile without a negative impact on performance. Specifically, we study the performance of a parametric portfolio policy when utilizing ESG score and ESG momentum characteristics in addition to value and momentum, in contrast to utilizing value and momentum only. READ MORE

  5. 19. The benefits of optimized portfolios- An empirical comparison between optimized portfolios and benchmarks

    University essay from Göteborgs universitet/Graduate School

    Author : John Nestenborg; Simon Petersson; [2022-06-29]
    Keywords : Optimized portfolios; Global Minimum Variance; GMV; Equal Risk Contribution; ERC; Naive portfolio; Market-Capitalization portfolio; Comparison between portfolio weighting schemes;

    Abstract : Uncertainty about the future is an everlasting part of investing. This study aims at testing the historical performance out-of-sample for optimized portfolios and if the performance was superior to benchmarks. 11 different portfolios are compared to two different benchmarks; the naive- and market-capitalized portfolio. READ MORE

  6. 20. Empirical investigation on the performance of a feed-forward artificial neural network on the Nordic stock markets

    University essay from Göteborgs universitet/Graduate School

    Author : Niklas Fjordstrand; Nikolaos Voutos; [2022-06-29]
    Keywords : ;

    Abstract : In this paper, the authors have made an empirical investigation on the performance of a feed-forward artificial neural network (ANN) on the four main Nordic stock markets, Sweden, Norway, Denmark, and Finland. First, a benchmark OLS regression model is compared against an ANN model to see which model performs best in terms of predictive accuracy and has the least amount of error. READ MORE