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Överavkastning och Black Swans

Baltaev, Alexander LU and Petrovic, Aleksandar LU (2012) NEKH01 20121
Department of Economics
Abstract
Unlike other research on Black Swans, beta and returns, we have in this study chosen to identify Black Swans with three different definitions. When index fluctuates with more than 2.75, 3.0 or 3.25 standard deviations from mean, a Black Swan occur. Despite different definitions on Black Swans, we have been able to generate excess return for a stock portfolio on the Swedish stock exchange (OMXS30–index).
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author
Baltaev, Alexander LU and Petrovic, Aleksandar LU
supervisor
organization
alternative title
Excess Return and Black Swans
course
NEKH01 20121
year
type
M2 - Bachelor Degree
subject
keywords
CAPM, Portfolio strategy, Mean reversion, Stocks, Beta, Black Swan
language
Swedish
id
2862419
date added to LUP
2012-08-07 07:42:19
date last changed
2012-08-07 07:42:19
@misc{2862419,
  abstract     = {Unlike other research on Black Swans, beta and returns, we have in this study chosen to identify Black Swans with three different definitions. When index fluctuates with more than 2.75, 3.0 or 3.25 standard deviations from mean, a Black Swan occur. Despite different definitions on Black Swans, we have been able to generate excess return for a stock portfolio on the Swedish stock exchange (OMXS30–index).},
  author       = {Baltaev, Alexander and Petrovic, Aleksandar},
  keyword      = {CAPM,Portfolio strategy,Mean reversion,Stocks,Beta,Black Swan},
  language     = {swe},
  note         = {Student Paper},
  title        = {Överavkastning och Black Swans},
  year         = {2012},
}