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Investering under konjunkturcykel

Andersen, Olga LU (2010) NEKK01 20092
Department of Economics
Abstract
The purpose of this thesis is to study the benefits of investment with respect to economic conditions on the Swedish market.
We analyze changes in the returns, volatility and correlations between the nine asset classes and investment styles during expansion and recession. Optimal portfolios are identified for both phases of the business cycle by optimizing the Sharpe ratio.
The main results are consistent with the previous research in this area and we can conclude that all assets demonstrate changes in the returns and the volatility during the business cycle. Differences in correlations during contraction compared to expansion between several assets in the study are not proven. Reallocation of the portfolio results in the same level of... (More)
The purpose of this thesis is to study the benefits of investment with respect to economic conditions on the Swedish market.
We analyze changes in the returns, volatility and correlations between the nine asset classes and investment styles during expansion and recession. Optimal portfolios are identified for both phases of the business cycle by optimizing the Sharpe ratio.
The main results are consistent with the previous research in this area and we can conclude that all assets demonstrate changes in the returns and the volatility during the business cycle. Differences in correlations during contraction compared to expansion between several assets in the study are not proven. Reallocation of the portfolio results in the same level of profitability under both phases of the business cycle, however we have not reached the reduction of volatility. (Less)
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author
Andersen, Olga LU
supervisor
organization
course
NEKK01 20092
year
type
M2 - Bachelor Degree
subject
keywords
Business cycle, asset allocation, correlation, Sharpe ratio
language
Swedish
id
1624868
date added to LUP
2010-06-29 11:43:30
date last changed
2011-03-10 12:58:26
@misc{1624868,
  abstract     = {The purpose of this thesis is to study the benefits of investment with respect to economic conditions on the Swedish market.
We analyze changes in the returns, volatility and correlations between the nine asset classes and investment styles during expansion and recession. Optimal portfolios are identified for both phases of the business cycle by optimizing the Sharpe ratio.
The main results are consistent with the previous research in this area and we can conclude that all assets demonstrate changes in the returns and the volatility during the business cycle. Differences in correlations during contraction compared to expansion between several assets in the study are not proven. Reallocation of the portfolio results in the same level of profitability under both phases of the business cycle, however we have not reached the reduction of volatility.},
  author       = {Andersen, Olga},
  keyword      = {Business cycle,asset allocation,correlation,Sharpe ratio},
  language     = {swe},
  note         = {Student Paper},
  title        = {Investering under konjunkturcykel},
  year         = {2010},
}