Överavkastning och Black Swans
(2012) NEKH01 20121Department 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).
Please use this url to cite or link to this publication:
http://lup.lub.lu.se/student-papers/record/2862419
- author
- Baltaev, Alexander LU and Petrovic, Aleksandar LU
- supervisor
-
- Erik Norrman LU
- organization
- alternative title
- Excess Return and Black Swans
- course
- NEKH01 20121
- year
- 2012
- 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}},
language = {{swe}},
note = {{Student Paper}},
title = {{Överavkastning och Black Swans}},
year = {{2012}},
}