Essays about: "portfolio model"

Showing result 1 - 5 of 624 essays containing the words portfolio model.

1. 1. Modelling the Exchange Rate: Evidence from the Impacts of Quantitative Easing in Sweden

   University essay from Handelshögskolan i Stockholm/Institutionen för nationalekonomi

   Author : Anny Eklund; Markus Sallkvist; [2024]
   Keywords : Quantitative easing; Exchange rate; Bayesian VAR model; Small open economy; Triangular factorisation;

   Abstract : Quantitative easing, the unconventional monetary policy measure used by many central banks to combat low inflation when interest rates are at the lower bound, has shown to be an effective tool for depreciating the domestic currency. Although the exchange rate is of particular importance in a small open economy as it directly impacts inflation dynamics,trade competitiveness and plays a substantial role in shaping monetary policy, few papers have investigated how the depreciating effect of QE to the exchange rate works. READ MORE

3. 2. ESG Balancing the Books and the Planet: A Quantitative Analysis of Risk-Adjusted Returns in ESG and Traditional Funds

   University essay from Göteborgs universitet/Institutionen för nationalekonomi med statistik

   Author : Benjamin Javidi; Malin Larsson; [2023-08-25]
   Keywords : Capital Asset Pricing Model CAPM ; Fama-French three-factor model; ESG; Sharpe ratio; OLS Regression Analysis; Modern Portfolio Theory;

   Abstract : The demand for sustainable investment has increased in the last decade. “Environmental, Social and Governance” (ESG) are characteristics within sustainable investment and are commonly considered in private investing. READ MORE

4. 3. 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

5. 4. EXPLORING THE RELATIONSHIP BETWEEN ESG DISAGREEMENT AND STOCK RETURNS - AN EMPIRICAL ANALYSIS

   University essay from Göteborgs universitet/Graduate School

   Author : Andrea Pasquali; [2023-06-29]
   Keywords : ;

   Abstract : During the recent years investors shifted their preferences towards sustainable stocks and funds, increasing the importance of Environmental, Social and Governance ratings. At a similar pace the related literature started to develop shedding light on some crucial aspects of the ESG ratings, such as the disagreement between rating agencies and the lack of common methodologies to assess the ratings. READ MORE

6. 5. Empirical Analysis of Dependence Structure Between Assets: A Study of the Impact of Infation on Dependence Between Stock Portfolios and Gold

   University essay from Göteborgs universitet/Graduate School

   Author : Tim Baldesten Pajunen; Filip Steussloff; [2023-06-29]
   Keywords : Infation;

   Abstract : In this paper, we study the impact of inflation on the dependence and volatilities of gold and stock portfolios constructed by Fama and French. To model the dependence structure, we propose a copula probability model. READ MORE