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dc.contributor.authorSivertsen, Axel Merlen
dc.contributor.authorSkribeland, Kristoffer Vermundsberget
dc.date.accessioned2018-02-27T11:10:01Z
dc.date.available2018-02-27T11:10:01Z
dc.date.issued2017
dc.identifier.urihttp://hdl.handle.net/11250/2487330
dc.descriptionMasteroppgave(MSc) in Master of Science in Finance - Handelshøyskolen BI, 2017nb_NO
dc.description.abstractWe study risk based portfolios with an emphasis on equal risk contribution, in a time series momentum setting. The benchmark strategies in which we compare the equal risk contribution includes inverse volatility, minimum variance, 1/N and 60/40. We perform an out of sample horserace of all strategies in a broad asset class environment. We then compare these portfolios to time series momentum long-only and long-short portfolios made up of the constituents of the broad asset classes. We find that risk based portfolios offers attractive traits mainly by controlling risk and avoiding large drawdowns. We also find that time series momentum portfolios add significant value with low market exposure and moderate momentum exposure, avoiding large drawdowns. We are skeptical of the suitability of the long-short portfolios, even though they clearly offer the best returns.nb_NO
dc.language.isoengnb_NO
dc.publisherBI Norwegian Business Schoolnb_NO
dc.subjectfinansnb_NO
dc.subjectfinancenb_NO
dc.subjectfinancial economicsnb_NO
dc.titleEqual risk contribution adopts time series momentumnb_NO
dc.typeMaster thesisnb_NO


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