Essays about: "thesis on risk and return"

Showing result 1 - 5 of 282 essays containing the words thesis on risk and return.

1. 1. ESG and Fund Performance Comparing Funds with Different Strategic Benchmarks

   University essay from

   Author : Jesper Carlsson; Erik Olofsson; [2023-07-03]
   Keywords : ESG; Efficient Market Hypothesis; Risk-Adjusted Return; Strategic Benchmarks;

   Abstract : This thesis aims to identify if there is a positive relationship between ESG and fund performance, and if this relationship is different depending on the strategic benchmark of the funds and how they differ between the given strategic benchmark. Four groups of funds connected to a specific strategic benchmark are divided based on their ESG score into a high ESG score group and low ESG score group. READ MORE

3. 2. The Sustainable Era - The Excess Return on Swedish Sustainable Global Equity Funds

   University essay from Göteborgs universitet/Institutionen för nationalekonomi med statistik

   Author : Kristoffer Holmgren; Måns Hurtigh; [2023-07-03]
   Keywords : Fama-French; ESG; Morningstar; Morningstar Globe Rating; funds; global equity funds; sustainability; excess return;

   Abstract : This thesis explores the relationship between the performance of Swedish global equity funds and the level of sustainability, as measured by the Morningstar Globe Rating, using a Fama-French six-factor model, globe rating categories, and time effects. Treating the Morningstar Globe Rating as a time-invariant variable, a sample of 80 Swedish global equity funds are divided into two sustainability groups, ‘Low’ and ‘High’, grouping funds with 1-3 globes into a reference group. READ MORE

4. 3. A valuation of Swedish hedge fund performance

   University essay from Göteborgs universitet/Institutionen för nationalekonomi med statistik

   Author : Elis Grönqvist; Johan Wennerström; [2023-02-09]
   Keywords : ;

   Abstract : In this thesis we present annual returns of Swedish hedge funds sorted by investment strategies and investigate which strategy performs best and how the Fama-French factors: market premium, value premium and growth premium affect these returns. The Fama-French three-factor model is built on the Capital Asset Pricing Model which tries to describe the relationship between the expected return of an asset and the risk of the asset compared to the market. READ MORE

5. 4. Rättvis vattenfördelning i klimatkrisens tid : en studie om hur Sverige kan ta lärdomar av extrema kontexter

   University essay from SLU/Dept. of Landscape Architecture, Planning and Management (from 130101)

   Author : Veronica Lennefors; Linnéa Saiduddin; [2023]
   Keywords : vattendistribution; vattenhantering; vattenbrist; klimatförändringar; ursprungsbefolkning;

   Abstract : Sverige har hittills varit relativt förskonade från vattenproblematik, men det extrema väder orsakat av klimatförändringarna gör att även vi kan utsättas för bristande tillgångar på färskvatten och de sociala konsekvenser som medföljer. Ett sätt att förbereda oss i kampen mot det förändrade klimatet och dess konsekvenser kan vara att studera extrema kontexter, områden som redan idag visar på resultatet av klimatförändringarna. READ MORE

6. 5. 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