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Momentum Investment Strategies with Portfolio Optimization: A Study on Nasdaq OMX Stockholm Large Cap
Mälardalens högskola, Akademin för utbildning, kultur och kommunikation.
Mälardalens högskola, Akademin för utbildning, kultur och kommunikation.
2014 (engelsk)Independent thesis Basic level (degree of Bachelor), 10 poäng / 15 hpOppgave
Abstract [en]

This report covers a study testing the possibility of adding portfolio optimization by mean-variance analysis as a tool to extend the concept of momentum strategies in contrast to naive allocation formed by Jegadeesh & Titman (1993). Further these active investment strategies are compared with a passive benchmark as well as a randomly selected portfolio over the entire study-period. The study showed that the naive allocation model outperformed the mean-variance model both economically as well as statistically. No indication where obtained for a lagged return effect when letting a mean-variance model choose weights for a quarterly holding period and the resulting investment recommendation is to follow a naive investment strategy within a momentum framework.

sted, utgiver, år, opplag, sider
2014. , s. 88
Emneord [en]
Finance, Momentum Investments, Portfolio Theory, Portfolio Optimization, Naive Diversification, Asset Allocation, Mean-Variance Efficiency, Sharpe-Ratio Hypothesis Test
HSV kategori
Identifikatorer
URN: urn:nbn:se:mdh:diva-24848OAI: oai:DiVA.org:mdh-24848DiVA, id: diva2:711425
Fag / kurs
Mathematics/Applied Mathematics
Presentation
2014-02-28, Västerås, 18:30 (engelsk)
Veileder
Examiner
Tilgjengelig fra: 2014-04-10 Laget: 2014-04-10 Sist oppdatert: 2014-04-10bibliografisk kontrollert

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Momentum Investment Strategies(3884 kB)3159 nedlastinger
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