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Assessing the performance of Fundamental, Risk-adjusted, & Risk-timing portfolios against traditional strategiesRube, Christofer, Hörndahl, Jakob January 2024 (has links)
This study compares alternative weighting strategies with traditional weighting strategies, to identify if investors could receive better risk-adjusted returns on the Swedish stock market. The reason for the emergence of the thesis is based on the criticism and questions raised against the traditional strategies, that they might be ineffective and suboptimal for investors. Previous studies extend our theoretical background where the market price of an asset is not representative of the intrinsic value. Data from listed firms on the Swedish market between 2003 and 2024 have been collected, to compose the Fundamental, Risk-adjusted, and Risk-timing portfolios. Our benchmarks have consisted of value-weighted-, equally weighted-, maximum Sharpe ratioand OMXS-30 portfolios. The empirical result of this study suggests that there is an indication that the portfolio strategies outperform the benchmark portfolios.
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Portfolio Strategies with Classical and Alternative BenchmarksKuntz, Laura-Chloé 09 July 2018 (has links)
No description available.
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遺傳程式與市場擇時策略之研究:臺灣股票市場的應用 / Genetic Algorithms and Market Timing Strategies: An Application of Taiwan Stock Market陳建福, Chen, Chien Fu Unknown Date (has links)
本研究結合由Holland(1975)所發展的遺傳程式與資訊科技的計算理論來研究臺灣股票市場的市場擇時策略,並根據Bauer(1994)對於投資法則的編碼方式,分別考慮以基本分析與技術分析為基礎的遺傳程式市場擇時策略,並且以買入持有策略、投資無風險資產與追漲殺跌策略等三種投資策略作為比較基礎來評估遺傳程式在投資策略應用上的可行性。
研究期間為1984年至1991年,其中樣本內期間為1984年至1988年,而樣本外期間為1989年至1991年,研究結論如下:
1.不論採基本分析或技術分析為基礎的遺傳程式投資法則,在樣本外期間第一年(1989年)的報酬均顯著高於投資無險資產與追漲殺跌策略,但低於買入持有策略。
2.就整個樣本外期間(1989-91年)而言,採用基本分析的遺傳程式投資法則顯著優於買入持有策略,而採用技術分析的遺傳程式投資法則並不具有投資績效。
3.以基本分析為基礎的遺傳程式投資法則較適用於長期投資,而以技術分析為基礎的遺傳程式投資法則較適用於短期投資。
4.樣本外期間經歷了遺傳程式沒有學習過的資料型態(亦即1990年初股價連續下跌趨勢),對於遺傳程式的學習能力形成了一大挑戰。
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