Essays about: "risk factor models"

Showing result 1 - 5 of 197 essays containing the words risk factor models.

  1. 1. The illiquidity exposure factor: An overlooked driver of mutual fund performance

    University essay from Göteborgs universitet/Graduate School

    Author : Jakob Häger; Tim Hansson; [2023-06-29]
    Keywords : Illiquidity; liquidity; mutual funds; fund performance; factor models; alpha;

    Abstract : This paper examines if Swedish-focused mutual funds with more illiquid holdings produce higher alpha. By extending the classic Fama and French five-factor model, we pinpoint the effect of illiquidity in underlying holdings on mutual fund alpha generation through a two-step regression model with data between 2019-2022. READ MORE

  3. 2. Comparison of High ESG Portfolio Performance in Germany and Switzerland

    University essay from Göteborgs universitet/Graduate School

    Author : Nino Shakulashvili; Saud Talic; [2023-06-29]
    Keywords : ESG; Portfolio Performance; Fama French; Carhart; Risk Factors; Value; Size; Momentum; Germany; Switzerland;

    Abstract : This study focuses on the relationship between stock return performance and sustainability, the latter taking the form of the Environmental, Social, and Governance (ESG) framework. The paper provides a comparative setting in which stocks of companies headquartered in Germany and Switzerland are examined. READ MORE

  4. 3. Unveiling the Impact of ESG Ratings on Risk-Adjusted Returns : Evidence from European Companies

    University essay from Uppsala universitet/Företagsekonomiska institutionen

    Author : David Melin; Otta Alexander; [2023]
    Keywords : ESG; Sustainability; Risk-adjusted return; Risk factor; Factor model; Portfolio; Europe;

    Abstract : This study uses a sample of 600 companies from Europe to investigate the risk-adjusted returns of four portfolios with high and low ESG ratings between 2011 and 2021. Four asset pricing models and additional measures for risk and return are tested on different portfolio weights. READ MORE

  5. 4. Robust Portfolio Optimization with Correlation Penalties

    University essay from KTH/Matematisk statistik

    Author : Pelle Nydahl; [2023]
    Keywords : Portfolio Optimization; Portfolio Allocation; Robust Optimization; Correlation; Risk Factor Model; EMA Filtering; Weighted Linear Regression; Portföljoptimering; Portföljallokering; Robust optimering; Korrelation; Riskfaktor-modell; EMA-filtrering; Viktad linjär regression;

    Abstract : Robust portfolio optimization models attempt to address the standard optimization method's high sensitivity to noise in the parameter estimates, by taking an investor's uncertainty about the estimates into account when finding an optimal portfolio. In this thesis, we study robust variations of an extension of the mean-variance problem, where an additional term penalizing the portfolio's correlation with an exogenous return sequence is included in the objective. READ MORE

  6. 5. The gut microbiome and nausea in pregnancy

    University essay from Uppsala universitet/Institutionen för biologisk grundutbildning

    Author : Clàudia González Valdivia; [2023]
    Keywords : Bioinformatics; Microbiome; Metagenomics; Genome analysis; Genetics;

    Abstract : Nausea and vomiting are among the most common symptoms of early pregnancy. Its most extreme form Hyperemesis gravidarum often requires hospitalization and has been linked as a risk factor of perinatal depression. READ MORE