This paper analyses the difference in risk-adjusted returns between Sin-stocks and SRI-investing for the period 2001-2021. The analysis was conducted by creating two optimally risky portfolios according to the Modern Portfolio Theory, one comprised of only Sin-stocks and one with only high ESG scoring companies. The Sin-stocks contained stocks from four different sectors, alcohol, gambling, tobacco and weapons while the companies for the SRI-portfolio was chosen from the FTSE4Good index. The regression models were chosen to follow both the CAPM, and the Fama & French three factor model and the regressions were in the end conducted with the GARCH model which showed results that both the SRI-portfolio and the Sin-portfolio had a general excess return over the market. The two portfolios were also compared with the help of Sharpe Ratio and Jensen’s Alpha. The Sharpe ratio as well as the Jensen’s Alpha showed that the Sin-portfolio had the highest risk-adjusted returns. In conclusion, the SRI-portfolio as well as the Sin-portfolio both outperformed the market during the time period 2001-2021 and they were both less volatile than the market.

This thesis deals with design and implementation of an investment model, which applies methods of Post-modern portfolio theory. Particle swarm optimization (PSO) metaheuristic was used for portfolio optimization and the parameters were analyzed with several experiments. Johnsons SU distribution was used for estimation of future returns as it proved to be the best of analyzed distributions. The result is software application written in Python, which is tested for stability and performance of model in extreme situations.

No description available.

There has been a renewed interest by international institutional investors in the US hotel property market and increased interest in Real Estate Investment Trusts. One challenge these investors face is if it is feasible to simultaneously invest in a specific property type, both privately and publicly. In order to determine if their portfolios would benefit from the inclusion of private and public hotel real estate investors will have to carefully take into consideration: expectations for returns, tolerance for risk, allocation of assets, and the correlations between the assets. This study analyzed the performance of simulated mixed-asset portfolios using average annual returns from 1994 to 2012. The portfolios were constructed by using modern portfolio theory. The purpose was to analyze whether the inclusion of privately owned US hotel real estate and publicly traded US hotel real estate in a mixed-asset portfolio enhances the portfolio frontier. The results showed: the separate inclusion of private hotel real estate enhanced the frontier, the separate inclusion of public hotel real estate did not enhance the frontier, and the simultaneous inclusion of both private and public hotel real estate enhanced the frontier.

This paper investigates the diversification characteristics of commodities in relation to the Swedish equity index OMXSPI. Much of the previous literature concludes that gold and oil possess diversification or hedging properties against the US equity markets. The findings from literature investigating other markets or commodities are less conclusive. We apply a DCC-GARCH model on monthly data between 1996 and 2022 and analyze the dynamic conditional correlations between eight commodities, Swedish inflation and OMXSPI. We focus our analysis on three well-known crises and find large variations in the correlation among the assets and between the different crises. We also construct three portfolios, a minimum variance-, maximum Sharpe- and equally weighted portfolio, to investigate if commodities lower the variance of a portfolio based on OMXSPI. We find that aluminum, cocoa, silver and soybeans display diversification characteristics while copper, platinum and rubber are deemed less capable diversifiers. The model returned no significant results between the commodities and inflation. We conclude this could be because of the stable nature of Sweden’s inflation or the low contribution commodities seem to have to the GDP.

A growing number of studies have been conducted in the sphere of portfolio analysis concerning different approaches for analyzing stocks and outperforming the market. Pioneers in the sphere of portfolio theory like William Sharpe and Harry Markowitz have developed strategies and ratios for portfolio analysis that could generate positive risk-adjusted returns. Thus, this paper will solicit a number of these strategies to endeavor and generate a return that is higher than the market index while considering the expenses that come with buying and selling stocks (transaction costs). Therefore, the purpose of this study is to assess how active investing measures up to passive investing in the sphere of the Swedish stock market. The roadmap to achieve the desired goals set by the authors is to create numerous portfolios on a weekly basis with securities present in the Swedish OMX30 index using the Maximum Sharpe, Maximum M2, Minimum Variance, and Equally Weighted optimizations. Then the significance of the transaction costs will be tested and a comparison with the market index will be made. The results suggest that in the realm of the Swedish stock market, investing in dynamically optimized portfolios based on the maximization of Sharpe Ratio and M2 will generate higher returns in comparison to passively investing in the market index, and the significance of transaction costs varies upon the amount of capital invested in the portfolios.

The State of Mississippi wants to manage its oyster resource to increase production, quality, ecological, and economic benefits. In this study, we employ modern portfolio theory (MPT) to test if there are potential gains to hold multiple oyster resources for multiple benefits to aid the state's effort in achieving its goal. Using a Delphi approach, we elicit complete sets of data on ecosystem services (on oxygen, nutrients, sedimentation, and salinity) across multiple oyster resources (traditional plantings, off-bottom farms, and restored reefs). A benefit transfer method is used later to assigned money-metric value to each service estimate. The multiple service values are then aggregated into net service value. We compute the means, standard deviations, and correlations of benefits across all resources using the net service values, and generate efficient frontiers from that information. Results indicate that Mississippi could benefit from holding multiple oyster resources while focusing more on off-bottom oyster farms.

No description available.

Although nonprofit organization (NPO) leaders play crucial roles in society, financial distress and vulnerability are common for many NPO leaders, with some NPOs closing as a result of these conditions. The purpose of this single-case study was to explore the diversification strategies used by 10 leaders and senior staff of an NPO in the mid-Atlantic region of the United States through the conceptual lens of Markowitz's modern portfolio theory. Data were collected through in-depth semistructured interviews and analysis of organizational documents, internal archival data, social media, literature, and online databases. Through thematic analysis, 7 revenue diversification themes emerged: adding revenue streams; establishing an operating reserve; establishing positive financial performance; achieving financial stability, sustainability, organizational capacity, and organizational resilience; using transparency; achieving efficiency and organizational effectiveness; and using a marketing strategy. Additionally, 7 key themes emerged: documenting and implementing systematic processes, developing an approach to process improvement, implementing cross-department action plans, increasing transparency, reversing the adverse trend in forum participation, building a data-management system, and increasing individual and organizational capacity. These findings have implications for positive social change, in that they may offer NPO executives new insights and strategies to support revenue diversification, thereby helping them to reduce volatility in funding, decrease financial risk, avoid dependence on sole-source revenue, and identify opportunities to increase flexibility in support of organizational goals and objectives to increase services.

<p>I denna magisteruppsats undersöks eventuella långsiktiga samband mellan den svenska aktiemarknaden och aktiemarknaderna i Tyskland, Storbritannien, USA och Japan. Detta sker genom en kointegrationsanalys med Engle-Grangers metod. Undersökningen omfattar åren 1992-2010 och resultaten visar inga tecken på att det skulle existera några långsiktiga samband mellan den svenska aktiemarknaden och någon av de utländska aktiemarknaderna. Resultaten ger därmed indikationer om att den svenska aktiemarknaden tillsammans med de utländska aktiemarknaderna i undersökningen är kollektivt effektiva i åtminstone den svaga formen enligt Fama (1970). Då inga långsiktiga samband existerar bör även portföljdiversifiering mellan den svenska aktiemarknaden och de utländska aktiemarknaderna i undersökningen fungera effektivt på lång sikt.</p> / <p>In this master thesis the Engle-Granger method for cointegration analysis is used to examine long-term relationships between stock markets. The analysis is applied on Swedish stock market together with the stock markets in Germany, United Kingdom, United States and Japan. The result shows no significant signs of any form of long-term relationships between the Swedish and the foreign stock markets for the time period 1992 to 2010. The result therefore indicates that the Swedish stock market together with the foreign stock markets in the study is collectively efficient in at least the weak form according to Fama (1970). The result also indicates that portfolio diversification through investing in the Swedish stock market together with any of the foreign stock markets should be effective in the long run.</p>