Essays about: "rolling window investment strategy"

Found 3 essays containing the words rolling window investment strategy.

  1. 1. Does copula beat linearity? : Comparison of copulas and linear correlation in portfolio optimization.

    University essay from Umeå universitet/Institutionen för matematik och matematisk statistik

    Author : Joakim Blom; Joakim Wargclou; [2016]
    Keywords : Copula; Portfolio Optimization; Extreme Value Theory; CVaR Optimization;

    Abstract : Modern portfolio theory (MPT) is an investment theory which was introduced by Harry Markowitz in 1952 and describes how risk averse investors can optimize their portfolios. The objective of MPT is to assemble a portfolio by maximizing the expected return given a level of market risk or minimizing the market risk given an expected return. READ MORE

  3. 2. Pairs Trading: Evaluation of profitability and risks on the Swedish stock market

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Pavel Lisev; Marc Schurer; [2015]
    Keywords : cointegration; pairs trading; market-neutrality; rolling window backtest; OMX; Business and Economics;

    Abstract : The turbulent market environment experienced over the last decades has attracted the broad interest of institutional and retail investors towards non-directional and absolute return investment strategies. The scope of this paper mainly concerns the investigation of whether a pairs trading strategy based on the cointegration approach generates excess returns on the Swedish equity market or fails to meet initial expectations. READ MORE

  4. 3. A Value Relevant Fundamental Investment Strategy : The use of weighted fundamental signals to improve predictability

    University essay from Företagsekonomiska institutionen

    Author : Martin Eliasson; Khawar Malik; Benjamin Österlund; [2011]
    Keywords : Fundamental analysis; Financial statement analysis; Financial analysis; High book-to-market; quantitative analysis; statistical regression study; investment strategy; longitudinal study; NYSE; New York Stock Exchange; Nasdaq; Piotroski; Rados and Lovric; wieghted and modified Piotroski F_score; F_score; B M investment strategy; fundamental signals correlation; return correlation; rolling window investment strategy; Correlations during macroeconomic up and down periods; historical performance of fundamental signals; Piotroski s F_score; fundamental signals; Fundamental analys; en hög book-to-market investeringsstrategi; finansiell analys; Piotroski; Piotroskis F_score; Rados och Lovric; modifierat F_score; undervärderade företag; Användningen av viktade fundamentala signaler för att förbättra förutsägbarheten; fundamentala signaler;

    Abstract : The aim of this study is to investigate the possibility to improve the investment model defined in Piotroski (2000) and the subsequent research carried out on this model. Our model builds further upon the original fundamental score put forth by Piotroski. READ MORE