dc.contributor.author | Strandmoe, Kai Erik | |
dc.date.accessioned | 2019-01-03T13:33:51Z | |
dc.date.available | 2019-01-03T13:33:51Z | |
dc.date.issued | 2018 | |
dc.identifier.uri | http://hdl.handle.net/11250/2579010 | |
dc.description | Masteroppgave(MSc) in Master of Science in Business, Finance - Handelshøyskolen BI, 2018 | nb_NO |
dc.description.abstract | The concept of using alpha and beta to gauge the validity of an investment has
been used extensively in both an academic as well as a professional setting.
Despite its extensive use, the method of obtaining the alphas and betas estimates
is deceptively simple and makes a number of unrealistic assumptions. This report
aims to investigate the merits of using a Kalman Filter in equity beta and alpha
estimation and thereby circumvent some of the issues of the more traditional
approach. Final results show that the error improvements are non-existent or
marginal at best. However, while the merits of the Kalman filtering technique is
lackluster in this report, it makes a strong case further analysis into the area is
warranted. | nb_NO |
dc.language.iso | eng | nb_NO |
dc.publisher | Handelshøyskolen BI | nb_NO |
dc.subject | finans | nb_NO |
dc.subject | finance | nb_NO |
dc.subject | finacial economics | nb_NO |
dc.title | Investigating the merits of using a Kalman Filter in equity Beta estimation | nb_NO |
dc.type | Master thesis | nb_NO |