Essays about: "volatility stock return"

Showing result 6 - 10 of 132 essays containing the words volatility stock return.

  1. 6. Mimicking Claimed Alpha Generating Strategies

    University essay from Linköpings universitet/Produktionsekonomi

    Author : Patric Torén; [2023]
    Keywords : Momentum Strategy Mark Minervini Volume Excess return Nordic Market;

    Abstract : This research paper focuses on the implementation and evaluation of Minervini's momentum analysis techniques in an algorithmic approach. The study aimed to assess the limitations and challenges associated with executing Minervini's strategy in an algorithmic trading system. READ MORE

  3. 7. The Low Volatility Anomaly in Sweden and its Presence During the Covid-19 Pandemic

    University essay from Göteborgs universitet/Företagsekonomiska institutionen

    Author : Felicia Ekener; Albin Friedrichsen; [2022-06-30]
    Keywords : Risk; Low volatility anomaly; Covid-19; Capital Asset Pricing Model.;

    Abstract : Investing in the stock market has interested people for a long time as the hope to generate high returns has been an incentive to risk one’s money. From this argumentation has a general relationship between risk-and-return been created. READ MORE

  4. 8. The Relationship Between Idiosyncratic Volatility and Portfolio Return within Swedish Stock Markets.

    University essay from Göteborgs universitet/Graduate School

    Author : Christian Gray; Ricardo Sousa; [2022-06-29]
    Keywords : ;

    Abstract : Main results suggest there is a statistically and economically significant positive relationship between idiosyncratic volatility and portfolio return within the Swedish stock markets. This relationship is detected despite the low idiosyncratic volatility climate of Sweden. READ MORE

  5. 9. 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 statistik

    Author : Christoffer Hellekant; Rasmus Olofsson; [2022-02-15]
    Keywords : ;

    Abstract : 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

  6. 10. Stock Market Volatility in the Context of Covid-19

    University essay from Jönköping University/IHH, Företagsekonomi

    Author : Liu Kunyu; [2022]
    Keywords : The U.S. stock market; COVID-19; volatility clustering; GARCH models; leverage effect;

    Abstract : The global economy has been severely impacted during the Covid-19 period. The U.S. stock market has also experienced greater volatility. READ MORE