Volatility-Managed Portfolios: Evidence from the Norwegian Equity Market
Master thesis
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http://hdl.handle.net/11250/2624951Utgivelsesdato
2019Metadata
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- Master of Science [1613]
Sammendrag
We study the results of volatility-managed portfolios on the Nor-
wegian market to examine Moreira and Muir's (2017) ndings. We
replicate their methodology and implemented it on data from the
Oslo stock exchange. We found that most of our results mirrored
Moreira and Muir's (2017) report. We concluded that there is a
clear indication of positive alphas in most cases.
Beskrivelse
Masteroppgave(MSc) in Master of Science in Business, Finance/Masteroppgave(MSc) in Master of Science in Finance - Handelshøyskolen BI, 2019