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dc.contributor.advisorWestgaard, Sjur
dc.contributor.advisorHenriksen, Tom Erik Sønsteng
dc.contributor.authorFuruseth, Olav
dc.contributor.authorMuri, Petter
dc.coverage.spatialNorwaynb_NO
dc.date.accessioned2016-08-31T12:10:11Z
dc.date.available2016-08-31T12:10:11Z
dc.date.issued2016-08-31
dc.identifier.urihttp://hdl.handle.net/11250/2403134
dc.description.abstractWe 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 time, but carry a significantly lower level of risk and higher risk-adjusted return. Together with low correlation and cross-exposure in factors, they clearly give a diversification effect. Our equally weighed factor portfolio produces a higher risk-adjusted return over the market (M2). Even though the use of leverage is controversial, an investor could achieve the same performance as the market with half the risk of an index fund by adding leverage. This study is especially interesting for long term institutional investors.nb_NO
dc.language.isoengnb_NO
dc.publisherNorwegian University of Life Sciences, Ås
dc.subjectFactor analysisnb_NO
dc.subjectMulti-factor portfoliosnb_NO
dc.subjectQuant equitynb_NO
dc.titleDynamic factor portfolios in the Norwegian stock marketnb_NO
dc.typeMaster thesisnb_NO
dc.subject.nsiVDP::Social science: 200nb_NO
dc.source.pagenumber49nb_NO
dc.description.localcodeM-ØAnb_NO


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