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Är det möjligt att göra en riskjusterad överavkastning med hjälp av aktiva investeringsmetoder?

Svensson Dunger, Cajsa LU (2011) NEKK01 20102
Department of Economics
Abstract
This essay investigates the possibility to make a risk adjusted return that outperforms index, OMXS30, by using one of three different investing methods. In other words it is a study which tests whether investors ought to choose a passive or active approach in investing. The methods described and examined, are mean-variance, minimum variance and shortfall constraint. When investigating the different methods, portfolios using 24 months historic data have been created and selected by each method’s own optimization criteria. The efficiency of each method has then been assessed using the Sharpe ratio as this ratio shows the relationship between both risk and return. After testing the efficiency, a t-test was conducted to determine whether... (More)
This essay investigates the possibility to make a risk adjusted return that outperforms index, OMXS30, by using one of three different investing methods. In other words it is a study which tests whether investors ought to choose a passive or active approach in investing. The methods described and examined, are mean-variance, minimum variance and shortfall constraint. When investigating the different methods, portfolios using 24 months historic data have been created and selected by each method’s own optimization criteria. The efficiency of each method has then been assessed using the Sharpe ratio as this ratio shows the relationship between both risk and return. After testing the efficiency, a t-test was conducted to determine whether there exists a statistically significant difference between the index and the three methods’ Sharpe ratio. The result reached during this study was that there did not exist a significant difference between index and the three methods. (Less)
Please use this url to cite or link to this publication:
author
Svensson Dunger, Cajsa LU
supervisor
organization
course
NEKK01 20102
year
type
M2 - Bachelor Degree
subject
keywords
Mean-variance, minimum variance, shortfall constraints and OMXS30
language
Swedish
id
1858866
date added to LUP
2011-03-28 09:13:47
date last changed
2011-03-28 09:13:47
@misc{1858866,
  abstract     = {This essay investigates the possibility to make a risk adjusted return that outperforms index, OMXS30, by using one of three different investing methods. In other words it is a study which tests whether investors ought to choose a passive or active approach in investing. The methods described and examined, are mean-variance, minimum variance and shortfall constraint. When investigating the different methods, portfolios using 24 months historic data have been created and selected by each method’s own optimization criteria. The efficiency of each method has then been assessed using the Sharpe ratio as this ratio shows the relationship between both risk and return. After testing the efficiency, a t-test was conducted to determine whether there exists a statistically significant difference between the index and the three methods’ Sharpe ratio. The result reached during this study was that there did not exist a significant difference between index and the three methods.},
  author       = {Svensson Dunger, Cajsa},
  keyword      = {Mean-variance,minimum variance,shortfall constraints and OMXS30},
  language     = {swe},
  note         = {Student Paper},
  title        = {Är det möjligt att göra en riskjusterad överavkastning med hjälp av aktiva investeringsmetoder?},
  year         = {2011},
}