Blar i Brage NMBU på forfatter "Henriksen, Tom Erik Sønsteng"
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An empirical study of the risk parity allocation approach using the world equity market
Henriksen, Tom Erik Sønsteng (Master thesis, 2014-08-18)The aim of this thesis is to build different Risk Parity portfolios and thereby perform an out-of-sample analysis by comparing them with other more common portfolio strategies. The reason why this portfolio allocation ... -
Bitcoins verdi i diversifiserte porteføljer : en out-of-sample studie
Vindedal, Kjetil; Iversen, Mathias Adrian (Master thesis, 2017)Bitcoin har fra sin spede start i 2009 gått fra å være en kryptovaluta handlet mellom entusiaster, til å få betydelig oppmerksomhet i media for sin kraftige verdistigning. Bitcoin har også fått annerkjennelse fra deler av ... -
Can commodities dominate stock and bond portfolios?
Henriksen, Tom Erik Sønsteng; Pichler, Alois; Westgaard, Sjur; Frydenberg, Stein (Journal article; Peer reviewed, 2018)In this article we discuss whether commodities should be included as an asset class when establishing portfolios. By investigating second order stochastic dominance relations, we find that the stock and bond indices tend ... -
Dynamic factor portfolios in the Norwegian stock market
Furuseth, Olav; Muri, Petter (Master thesis, 2016-08-31)We test how dynamic factor portfolios utilizing acknowledged market anomalies perform on Oslo Stock Exchange in the period 1998 to 2015. The individual factor portfolios have varying performance over the market through ... -
Hedge Funds as a Diversification Vehicle
Mikkelsen, Andreas; Kjærland, Frode; Henriksen, Tom Erik Sønsteng (Peer reviewed; Journal article, 2019)This study evaluates the out-of-sample diversification benefits of including hedge fund indexes in global stock-bond portfolios. The topic is investigated by assessing several asset allocation strategies from 1998 to 2016. ... -
Policy shifts and stock market : lessons from the US and China
Datsenko, Ruslana (Master thesis, 2017)Governments set legal framework and economic policies, which influence the economic-institutional environment in which financial actors operate. They levy taxes, provide subsidies and investments, enforce laws and punish ... -
Should the government pension fund global invest more in emerging markets? : an analysis of potential diversification effects and oil price sensitivity
Røsandnes, Karen Elise (Master thesis, 2018)This thesis examines the diversification effects from investing in 19 emerging markets for the period January 1998 to September 2017. How investments in these markets correspond to changes in oil prices are also investigated. ...