Essays about: "portfolio theory"

Showing result 1 - 5 of 258 essays containing the words portfolio theory.

  1. 1. The Adoption of Artificial Intelligence in Swedish Funds

    University essay from Göteborgs universitet/Företagsekonomiska institutionen

    Author : Stephie Do; Tim Larsson; [2021-02-24]
    Keywords : Artificial intelligence; performance; funds; finance; asset management; portfolio theory; efficient market; behavioral finance.;

    Abstract : Fund managers have historically made use of traditional portfolio strategies such as Markowitz portfolio selection, as part of their decision making. But as the world has started to shift towards a more automated lifestyle, the question arises if fund management will follow. READ MORE

  2. 2. Hierarchical Clustering To Improve Portfolio Tail Risk Characteristics

    University essay from Lunds universitet/Matematisk statistik

    Author : Adam Eidenvall; [2021]
    Keywords : Hierarchical Clustering; Asset Allocation; Portfolio Construction; Graph Theory; Machine Learning; Risk Parity; Regime Shift; Bootstrapping; Walk Forward; Mathematics and Statistics;

    Abstract : Many agree that estimating portfolio risks has better estimation possibilities, than estimations on returns. Therefore investors attempts to construct better, more efficient riskmanaged portfolios by diversifying portfolios through factors rather than traditional asset classes. READ MORE

  3. 3. Modern Portfolio Theory Combined With Magic Formula : A study on how Modern Portfolio Theory can improve an established investment strategy.

    University essay from Linnéuniversitetet/Institutionen för ekonomistyrning och logistik (ELO); Linnéuniversitetet/Institutionen för ekonomistyrning och logistik (ELO)

    Author : Axel Ljungberg; Anton Högstedt; [2021]
    Keywords : Magic Formula; Modern portfolio theory; efficient frontier; Efficient market hypothesis; Sharpe ratio; risk-adjusted returns; Jensen’s alpha; beta; CAPM; OMXSPI;

    Abstract : This study examines whether modern portfolio theory can be used to improve the Magic Formula investment strategy. With the assets picked by the investment strategy we modify the portfolios by weighting the portfolios in accordance with modern portfolio theory. READ MORE

  4. 4. How Many Stocks Should You Buy? A Simulation Study on Portfolio Diversification for the Swedish Stock Market

    University essay from Lunds universitet/Matematisk statistik

    Author : Antonio Prgomet; [2021]
    Keywords : Portfolio Diversication; Modern Portfolio Theory; Quantitative Finance; Return Distributions; Shortfall Risk; Stochastic Dominance; Simulation Study.; Mathematics and Statistics;

    Abstract : For every stock investor, the question of how many stocks to buy is fundamental. The recommendations from the literature is wide and ranges from 10 to over 300. As a contrast, 41.79% of Swedish shareholders held only one stock in year 2020. READ MORE

  5. 5. Mechanical investing, man’s best friend or Foolish? : -A study on mechanical investment strategies on the Swedish stock market

    University essay from Linnéuniversitetet/Institutionen för ekonomistyrning och logistik (ELO); Linnéuniversitetet/Institutionen för ekonomistyrning och logistik (ELO)

    Author : Max Lundberg; Jakob Åkerlund; [2021]
    Keywords : Mechanical investing; EMH; Modern portfolio theory; Dogs of the Dow; the Foolish Four; Mean reversion; OMXS30; Contrarianism; The penultimate profit prospect; Stock market.;

    Abstract : The aim of this study is to examine classical Dow-strategies, Dogs of the Dow and Foolish Four relative to each other and OMXS30GI in order to test if promises of substantial returns would be kept on the Swedish stock market during the period 2002-2019. Our empirical findings show no statistically significant excess-return generated by the Foolish Four-strategy over neither the Dogs of the Dow-strategy nor OMXS30GI. READ MORE