Essays about: "portfolio"
Showing result 1 - 5 of 1371 essays containing the word portfolio.
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1. How to choose green?
University essay from Göteborgs universitet/Institutionen för nationalekonomi med statistikAbstract : This paper investigates if there is any difference between active managed funds and passive managed funds in regard to their risk-adjusted return. The thesis focuses on Swedish sustainable funds that invest in accordance with the ESG (environmental, governance and social) criteria during the time period 2011-2021. READ MORE
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2. Making Use of the Factor Zoo: An unpretentious attempt to predict asset returns using machine learning methods.
University essay from Göteborgs universitet/Institutionen för nationalekonomi med statistikAbstract : Factor modeling with the purpose of estimating assets returns is a dynamic and ever changing subject within finance. Recent literature has presented over 300 different fac-tors that seem to have significance in predicting asset returns. This new phenomenon in factor modeling has been dubbed ”The Factor Zoo”. READ MORE
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3. 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 statistikAbstract : 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
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4. Optimizing the Cash Reserve in a Portfolio of US Life Insurance Policies
University essay from Linköpings universitet/ProduktionsekonomiAbstract : Hoarding a too large cash reserve is often unfavourable due to lost investment opportunities. Similarly, an insufficient cash reserve can be detrimental, as one might fail to meet payment obligations. Finding the optimal balance is nothing that is done in the blink of an eye, particularly when the underlying variable is stochastic, e.g. READ MORE
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5. Liquidity and its effect on asset returns
University essay from Uppsala universitet/Företagsekonomiska institutionenAbstract : With data covering 20 years, we test three different liquidity measures' explanatory power in explaining asset returns on the Swedish stock market, and if an illiquidity premium exists. After establishing whether an illiquidity premium exists or not, we test whether the asset pricing models CAPM and the Fama-French three-factor model can benefit from including a liquidity factor. READ MORE
