Change search
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf
Likaviktade aktieportföljer: En studie av aktieportföljer innehållandes de ingående aktierna i OMXS30 under tidsperioden 2003 - 2016.
Uppsala University, Disciplinary Domain of Humanities and Social Sciences, Faculty of Social Sciences, Department of Statistics.
2017 (Swedish)Independent thesis Basic level (degree of Bachelor), 10 credits / 15 HE creditsStudent thesis
Abstract [sv]

I denna studie undersöks fyra olika typer av likaviktade aktieportföljer innehållande aktierna som historiskt ingått i OMXS30 under tidsperioden 2003 - 2016. Tre av fyra portföljer vilka konstruerats i studien genererar över hela undersökningsperioden en högre ackumulerad avkastning samt högre riskjusterad avkastning än OMXS30. De tre bäst presterande portföljerna består av en enkel likaviktad portfölj och två typer av portföljer baserade på klusteranalys med momentumstrategi. Resultaten ger belägg för att välja likaviktade porföljer framför kapitalviktade, sett ur ett investeringsperspektiv. 

Abstract [en]

In this study, four different types of equally weighted stock portfolios are examined containing the stocks which historically have been included in OMXS30 from 2003 to 2016. Three out of four portfolios constructed in the study generates a higher accumulated return and a higher risk-adjusted return than OMXS30. These three best-performing portfolios consist of a simple equally weighted portfolio and two types of portfolios based on cluster analysis with momentum strategy. The results provide evidence that from an investing perspective it is preferable to choose equally weighted portfolios instead of capitalization-weighted. 

Place, publisher, year, edition, pages
2017. , p. 33
Keyword [sv]
aktier, aktieindex, aktieportföljer, OMXS30, sharpekvot, klusteranalys, avkastning, riskjusterad avkastning
National Category
Probability Theory and Statistics
Identifiers
URN: urn:nbn:se:uu:diva-339290OAI: oai:DiVA.org:uu-339290DiVA, id: diva2:1175384
External cooperation
Fondbolagens förening
Subject / course
Statistics
Educational program
Bachelor Programme in Business and Economics
Examiners
Available from: 2018-01-19 Created: 2018-01-17 Last updated: 2018-01-19Bibliographically approved

Open Access in DiVA

fulltext(1849 kB)25 downloads
File information
File name FULLTEXT01.pdfFile size 1849 kBChecksum SHA-512
07845dd09c842850b2ec82178c435d221abe9ffe0c81f2e8c050382b4d59f4518a3acdabadd53bdaf3eb9bbfb3f547f3667e43664323b89469684653b3820cc7
Type fulltextMimetype application/pdf

By organisation
Department of Statistics
Probability Theory and Statistics

Search outside of DiVA

GoogleGoogle Scholar
Total: 25 downloads
The number of downloads is the sum of all downloads of full texts. It may include eg previous versions that are now no longer available

urn-nbn

Altmetric score

urn-nbn
Total: 103 hits
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf