Publicação
Quality investing on the Oslo stock exchange
| Resumo: | This thesis explores the integration of four distinct investment strategies within a unified fund, employing the Markowitz framework for portfolio optimization. The study further incorporates an allocation scheme based on popular weighting principles. By synergizing diverse investment approaches and leveraging the Markowitz model, this research aims to enhance portfolio performance and risk management. The proposed allocation scheme seeks to capitalize on market trends and investor sentiment, offering a comprehensive strategy for constructing a well-balanced and resilient investment fund. Further, this individual contribution investigates the Quality Minus Junk (QMJ) factor within the Norwegian stock market. It explores whether investing in high-quality stocks, characterized by profitability, growth, and safety, is viable as a profitable investment approach in this context. Empirical analysis reveals that the QMJ strategy, adapted from Asness et al. (2019), offers substantial risk- adjusted returns and proves resilient under varying market conditions, indicating market inefficiencies and the potential for this strategy in smaller markets like Norway's. |
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| Autores principais: | Tørnfeldt, Nicolai |
| Assunto: | Investment strategy Quality investing Equity analysis Financial data analysis Norwegian stock market Oslo stock exchange Ose Quality minus junk Qmj Factor investing Quantitative analysis |
| Ano: | 2024 |
| País: | Portugal |
| Tipo de documento: | dissertação de mestrado |
| Tipo de acesso: | acesso aberto |
| Instituição associada: | Universidade Nova de Lisboa |
| Idioma: | inglês |
| Origem: | Repositório Institucional da UNL |
| Resumo: | This thesis explores the integration of four distinct investment strategies within a unified fund, employing the Markowitz framework for portfolio optimization. The study further incorporates an allocation scheme based on popular weighting principles. By synergizing diverse investment approaches and leveraging the Markowitz model, this research aims to enhance portfolio performance and risk management. The proposed allocation scheme seeks to capitalize on market trends and investor sentiment, offering a comprehensive strategy for constructing a well-balanced and resilient investment fund. Further, this individual contribution investigates the Quality Minus Junk (QMJ) factor within the Norwegian stock market. It explores whether investing in high-quality stocks, characterized by profitability, growth, and safety, is viable as a profitable investment approach in this context. Empirical analysis reveals that the QMJ strategy, adapted from Asness et al. (2019), offers substantial risk- adjusted returns and proves resilient under varying market conditions, indicating market inefficiencies and the potential for this strategy in smaller markets like Norway's. |
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