Essays about: "thesis risk adjusted return"

Showing result 1 - 5 of 71 essays containing the words thesis risk adjusted 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. Predictive Modeling and Statistical Inference for CTA returns : A Hidden Markov Approach with Sparse Logistic Regression

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

   Author : Oskar Fransson; [2023]
   Keywords : Probability theory; Statistical inference; finance; CTA; managed futures; machine learning; statistical learning; stochastic process; sparse logistic regression; Markov Chain Monte Carlo; Hidden Markov model;

   Abstract : This thesis focuses on predicting trends in Commodity Trading Advisors (CTAs), also known as trend-following hedge funds. The paper applies a Hidden Markov Model (HMM) for classifying trends. Additionally, by incorporating additional features, a regularized logistic regression model is used to enhance prediction capability. READ MORE

4. 3. Assessing the Risks of Investments in On-Site Photovoltaic Systems : A Study on the Swedish Property Market

   University essay from KTH/Fastighetsföretagande och finansiella system

   Author : Hannes Ernhagen; Lukas Skärvinge; [2023]
   Keywords : Photovoltaic; Renewable energy; Risk; Sustainability; Solceller; Förnybar energi; Risk; Hållbarhet;

   Abstract : One of the biggest challenges facing our world and our societies is climate change. The transition towards a society where our energy does not come from fossil fuels, but rather renewable energy, has proven to be one of the most powerful methods to reduce climate change. READ MORE

5. 4. An Investigation and Comparison of Machine Learning Methods for Selecting Stressed Value-at-Risk Scenarios

   University essay from Uppsala universitet/Avdelningen för systemteknik

   Author : Moa Tennberg; [2023]
   Keywords : Value-at-Risk; Total margin; Procyclicality; Machine learning; Binary classification; Supervised learning; Unsupervised learning; Random forest; Multilayer perceptron;

   Abstract : Stressed Value-at-Risk (VaR) is a statistic used to measure an entity's exposure to market risk by evaluating possible extreme portfolio losses. Stressed VaR scenarios can be used as a metric to describe the state of the financial market and can be used to detect and counter procyclicality by allowing central clearing counterparities (CCP) to increase margin requirements. READ MORE

6. 5. How to choose green?

   University essay from Göteborgs universitet/Institutionen för nationalekonomi med statistik

   Author : Adrian Thureborn; Jakob Ödman; [2022-02-28]
   Keywords : ;

   Abstract : 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