Essays about: "out-of-sample"

Showing result 21 - 25 of 172 essays containing the word out-of-sample.

1. 21. Black-Litterman Model for Portfolio Performance Enhancement - An Out-Of-Sample Evaluation of the Black-Litterman Model on a U.S. Stock-Dominated Portfolio

   University essay from Göteborgs universitet/Institutionen för nationalekonomi med statistik

   Author : Christoffer Hellekant; Rasmus Olofsson; [2022-02-15]
   Keywords : ;

   Abstract : In this thesis, the Black-Litterman model is evaluated out-of-sample and compared to mean-variance and naïve allocation. Two references are implemented in the Black-Litterman framework, the minimum-variance and naive portfolios. The study complements previ-ous work by considering a stock-dominated portfolio, where all assets are from the U.S. READ MORE

3. 22. Bankruptcy determinants among Swedish SMEs : - The predictive power of financial measures

   University essay from Uppsala universitet/Företagsekonomiska institutionen

   Author : Oliver Andersson; Henning Kihlberg; [2022]
   Keywords : bankruptcy; default; probability of default; bankruptcy prediction; bankruptcy determinants; SMEs; financial measures; logistic regression;

   Abstract : The main purpose of this paper is to provide evidence of financial leverage, liquidity, profitability, and firm size ability to predict bankruptcy of Swedish small and medium-sized enterprises (SMEs), and to create a bankruptcy prediction model for Swedish SMEs. The sample consists of 1086 Swedish SMEs, among which 543 did go bankrupt between 2015 and 2019. READ MORE

4. 23. Deep learning, LSTM and Representation Learning in Empirical Asset Pricing

   University essay from KTH/Skolan för elektroteknik och datavetenskap (EECS)

   Author : Benjamin von Essen; [2022]
   Keywords : LSTM; empirical asset pricing; deep learning; representation learning; neural networks; LSTM; empirisk tillgångsvärdering; djupinlärning; representationsinlärning; neurala nätverk;

   Abstract : In recent years, machine learning models have gained traction in the field of empirical asset pricing for their risk premium prediction performance. In this thesis, we build upon the work of [1] by first evaluating models similar to their best performing model in a similar fashion, by using the same dataset and measures, and then expanding upon that. READ MORE

5. 24. Forecasting gold returns using principal component analysis from a large number of predictors

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Fredrik Allgén; [2022]
   Keywords : Forecasting; Gold; Principal Component Analysis; ARMA; Business and Economics;

   Abstract : Gold is known in the financial world to be an important asset in unstable periods, especially as a hedge against inflation. If the gold price can be forecasted, it will be possible to strategically invest in gold rather than acquire it as a last-minute hedge against economic downturns. READ MORE

6. 25. Time Dependencies Between Equity Options Implied Volatility Surfaces and Stock Loans, A Forecast Analysis with Recurrent Neural Networks and Multivariate Time Series

   University essay from KTH/Matematik (Avd.)

   Author : Simon Wahlberg; [2022]
   Keywords : RNN; LSTM; GRU; vector autoregression; implied volatility surface; stock loan; equity options; multivariate time-series analysis; financial mathematics.; Rekursiva neurala nätverk; LSTM; GRU; VAR; implicerade volatilitetsytor; aktielån; aktieoptioner; multidimensionell tidsserieanalys; finansiell matematik.;

   Abstract : Synthetic short positions constructed by equity options and stock loan short sells are linked by arbitrage. This thesis analyses the link by considering the implied volatility surface (IVS) at 80%, 100%, and 120% moneyness, and stock loan variables such as benchmark rate (rt), utilization, short interest, and transaction trends to inspect time-dependent structures between the two assets. READ MORE