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Dissertations / Theses on the topic 'Loser portfolios'

Author: Grafiati

Published: 3 June 2025

Last updated: 31 July 2025

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1

Li, Yao. "Examination of long-run performance of momentum portfolios: Implications for the sources and profitability of momentum." Diss., Virginia Tech, 2019. http://hdl.handle.net/10919/93958.

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This dissertation investigates the long-term performance of momentum portfolios. Its results show striking asymmetries for winners and losers and imply potentially different causes for the winner and loser components of momentum. After separately examining winners and losers relative to their respective benchmark portfolios with no momentum, we find winner momentum is smaller in magnitude, persists only for six months, and its higher return fully reverses. This is consistent with the notion that winner momentum is an overreaction to positive news and potentially destabilizing. Loser momentum i

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2

Portmann, Thomas. "Lower partial moments : unter besonderer Berücksichtigung ihres Zeithorizontverhaltens /." Bern [etc.] : P. Haupt, 1999. http://aleph.unisg.ch/hsgscan/hm00005996.pdf.

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Diss. Wirtsch.-wiss. St. Gallen, 1999 ; Nr. 2306.<br>En librairie dans la collection "Bank- und finanzwirtschaftliche Forschungen", Bd. 306. Titel der Buchhandelsausg: Zeithorizontverhalten von Lower Partial Moments. Literaturverz.

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3

Mazibas, Murat. "Dynamic portfolio construction and portfolio risk measurement." Thesis, University of Exeter, 2011. http://hdl.handle.net/10036/3297.

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The research presented in this thesis addresses different aspects of dynamic portfolio construction and portfolio risk measurement. It brings the research on dynamic portfolio optimization, replicating portfolio construction, dynamic portfolio risk measurement and volatility forecast together. The overall aim of this research is threefold. First, it is aimed to examine the portfolio construction and risk measurement performance of a broad set of volatility forecast and portfolio optimization model. Second, in an effort to improve their forecast accuracy and portfolio construction performance,

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4

Viegas, Ricardo Manuel Ramos. "Quantitative easing as a perspective for lower interest rates." Master's thesis, Instituto Superior de Economia e Gestão, 2017. http://hdl.handle.net/10400.5/15311.

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Mestrado em Finanças<br>A dissertação estuda o impacto do "quantitative easing" e das medidas de compras de ativos implementada pelos centrais, fucando-se na zona Euro. O "portfolio balance channel" foca-se em dois pontos, o "duration risk" e o "capital relief". O primeiro é, o aumento do risco por se ter uma obrigação de maior maturidade, o que com as compras por parte do bancos centrais, vai reduzir o "duration risk" existente no mercado. O segundo relaciona-se com, a compra por parte dos bancos centrais vai aumentar os preços desses ativos e dos seus substitutos, quem for detentor dos mesm

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5

Tawil, Dima. "Performance evaluation of portfolio insurance strategies." Thesis, Rennes 1, 2015. http://www.theses.fr/2015REN1G017/document.

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Cette thèse a pour objectif d’évaluer et de comparer la performance des stratégies d’assurance de portefeuille pour tenter de définir quelles stratégies doivent être privilégiées par les investisseurs. Nous comparons de nombreuses stratégies d’assurance (OBPI, CPPI, put synthétique et Stop-loss) entre elles mais également avec quelques autres stratégies de référence. Nous utilisons différents critères de comparaison qui comprennent: 1. Les distributions de pay-off, le niveau de protection, la dominance stochastique et le coût d’assurance dans différentes conditions de marché identifiées par de

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6

Huber, Florian, and Maria Teresa Punzi. "The shortage of safe assets in the US investment portfolio: Some international evidence." WU Vienna University of Economics and Business, 2017. http://epub.wu.ac.at/5460/1/wp243.pdf.

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This paper develops a Bayesian Global VAR (GVAR) model to track the international transmission dynamics of two stylized shocks, namely a supply and demand shock to US-based safe assets. Our main findings can be summarized as follows. First, we find that (positive) supply-sided shocks lead to pronounced increases in economic activity which spills over to foreign countries. The impact of supply-sided shocks can also be seen for other quantities of interest, most notably equity prices and exchange rates in Europe. Second, a demand-sided shock leads to an appreciation of the US dollar and generall

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7

Nilsson, Sara, and Jennifer Ramare. "What does it cost to invest with preferences? : What does investors lose/gain on investing in sin-stocks versus SRI investing?" Thesis, Högskolan Väst, Avd för juridik, ekonomi, statistik och politik, 2021. http://urn.kb.se/resolve?urn=urn:nbn:se:hv:diva-17337.

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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

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8

Kato, Fernando Hideki. "Análise de carteiras em tempo discreto." Universidade de São Paulo, 2004. http://www.teses.usp.br/teses/disponiveis/12/12139/tde-24022005-005812/.

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Nesta dissertação, o modelo de seleção de carteiras de Markowitz será estendido com uma análise em tempo discreto e hipóteses mais realísticas. Um produto tensorial finito de densidades Erlang será usado para aproximar a densidade de probabilidade multivariada dos retornos discretos uniperiódicos de ativos dependentes. A Erlang é um caso particular da distribuição Gama. Uma mistura finita pode gerar densidades multimodais não-simétricas e o produto tensorial generaliza este conceito para dimensões maiores. Assumindo que a densidade multivariada foi independente e identicamente distribuída (

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9

Yu, Li-Fang, and 游莉芳. "A Duration Based Analysis on Winner and Loser Portfolios of Momentum Strategy." Thesis, 2013. http://ndltd.ncl.edu.tw/handle/80964020489541732142.

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碩士<br>國立中央大學<br>財務金融學系<br>101<br>Frequent trading may result in high trading costs and prevent the execution of profitable momentum strategy. This thesis tries to examine the turnover frequency of stocks in long-short portfolio of momentum strategy. Empirical results first provide the evidence that momentum strategy is profitable. Second, there are 39.21% (40.21%) winner (loser) stocks retaining their rankings in the next month based on six-month price return performances and the average turnover rate is 86.41% (87.73%) for winner (loser) portfolios in six-month/six-month momentum strategy. Th

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10

Huang, Yu-Li, and 黃玉利. "An application of portfolios selection using lower partial moments and polynomial goal programming." Thesis, 2007. http://ndltd.ncl.edu.tw/handle/23968649702778094540.

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碩士<br>正修科技大學<br>經營管理研究所<br>95<br>Previous studies Chunhachinda, et al., (1997) and Prakash et al., (2003) applied the portfolio selection model using goal programming and incorporating the skewness of the return distributions to obtain the optimal portfolio. However, that portfolio selection model used variance as the measure of investment risk. In fact, asymmetrical return distributions will render the variance a deficient measure of investment risk, since it punishes the desirable upside movements as hard as the undesirable downside movements. Therefore, this study proposed a new portfolio s

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11

Yu, Yao-Tsung, and 游耀宗. "The Research in Portfolio and Asset Allocation with Lower Partial Moment Framework." Thesis, 2001. http://ndltd.ncl.edu.tw/handle/59722593816390171790.

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碩士<br>銘傳大學<br>金融研究所<br>89<br>The portfolio selection and asset allocation are the major investment policise. In the Modern Portfolio Theory, people can eliminate the unsystematic risk by diversifying their investments and just taking the systematic risk in the portfolio. The academia also thinks that asset allocation is the main fact which affecting the return the performance of mutual fund. The algorithm in analyzing long term asset allocation is the mean─variance, however, it disobey the investors’ real feeling that use the standard deviation as the risk measurement. In fact, it implies that

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12

Lin, Kan-min, and 林甘敏. "Study on Interactive Learning Behaviors Portfolio of higher and lower achievement students in e-Learning." Thesis, 2006. http://ndltd.ncl.edu.tw/handle/37187526702982986900.

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博士<br>國立雲林科技大學<br>管理研究所博士班<br>94<br>With the rapid development of information technology and e-learning, the e-learning achievement is the main focus of people. The causes of higher and lower achievement are the most important issue concerned by researchers and educators. The factors caused higer or lower achievement include personal dimension, environment dimension, behavior dimension and so on. But the reason causing to higer or lower achievement is not only depending on one dimension or just one factor. From one point of time data collection and observation or doing only quantitative data a

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13

Chen, Yi-Ling, and 陳怡伶. "The Portfolio Performance of Mean Lower Partial Moment Model-In Comparison with Mean Variance Model." Thesis, 2002. http://ndltd.ncl.edu.tw/handle/60339629291376271336.

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碩士<br>中原大學<br>國際貿易研究所<br>90<br>Abstract In the traditional portfolio theory, the investment risk is measured by the variance. But based on this method, an increase and a decrease in prices of financial asset are treated the same. However, the risk that investor really want to avoid is that the price of assets decrease. Due to the above reason, Bawa and Lindenberg (1977) and Fishburn (1977) develop a theory to evaluate the downside risk named “Mean Lower-Partial-Moment” (MLPM) which is derived from the concept of the Lower Partial Moment. (LPM) The main subject of this paper is to find out the

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14

Wu, chia-lu, and 吳嘉茹. "Portfolio Performances of Mean-Variance Model and Lower Partial Moment Model — A Study of Far East Country." Thesis, 2004. http://ndltd.ncl.edu.tw/handle/86898640229266844091.

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碩士<br>樹德科技大學<br>金融保險研究所<br>92<br>In the traditional portfolio theory（Mean-Variance model, MV）, the investment risk is measured by the variance. Based on this method, an increase and a decrease in prices of financial assets are treated the same. However, the risk that investors really want to avoid is the so-called downside risk. Therefore, Bawa（1975）and Fishburn（1977）introduce the Lower Partial Moment (LPM) approach to measure downside risk, and this approach is believed to obey the investors'' real feeling. The main subject of this paper is to investigate whether risk estimated by the Lower P

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15

Chen, ChunYi, and 陳俊屹. "The Impact of Size and Book-to-Market Ratio on the Selections of Efficient Portfolios─ An Application of Mean-Lower Partial Moment Model." Thesis, 2001. http://ndltd.ncl.edu.tw/handle/70866488748849099772.

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碩士<br>國立交通大學<br>經營管理研究所<br>89<br>In this study, we focus on the problem of portfolio selection and efficiency under the effects of size and book-to-market ratios (BE/ME). The traditional portfolio ranking methods are based on the mean-variance (M-V) model. Although this two-moment method is convenient, it may be insufficient to characterize return distributions. Therefore, mean-lower partial moment (M-LPM) model is employed to examine the impact of the two factors on portfolio selection for the period 1986-2000 in Taiwan. Our results show that the size and book-to-market effects do exist in Ta

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16

Rodrigues, João Paulo Farinha. "Medição e optimização do risco em selecção de carteiras." Master's thesis, 2015. http://hdl.handle.net/10316/31718.

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Dissertação de Mestrado em Matemática, área de Especialização em Estatística, Optimização e Matemática Financeira, apresentada à Faculdade de Ciências e Tecnologia da Universidade de Coimbra<br>Este trabalho tem como objectivo estudar medidas de risco e a sua utiliza ção em problemas de optimização em selecção de carteiras. Pretende-se comprender as alternativas à abordagem tradicional de optimização média-variância, introduzida por Markowitz, em que o risco é medido pela variância dos retornos dos títulos accionistas. Para o efeito, estudámos os Momentos Parcialmente Inferiores (LPMs) e o

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