AQR’s Momentum Funds. Case Study.

TweetShareSharePin0 SharesAQR’s Momentum Funds. Case Study. Case StudyDownload the case (a pdf file + an Excel supplement) from Blackboard. A casereport should consist of 10 pages or less (1-inch margins, 12-point fonts, double-spacing), notcounting the cover sheet and appendices that may contain spreadsheets, tables, figures, andreferences. Submit the softcopy of the final version of the…

Read More

FINC6009 – Portfolio Theory and its Applications

TweetShareSharePin0 SharesFINC6009 – Portfolio Theory and its Applications Task description Betting against beta (BAB) is an investment strategy developed by AQRcapital which has also gained attention from academics with the creatorsof the strategy publishing an article in the Journal of Financial Economics(see Frazzini and Pedersen; 2014). The BAB strategy exploits an anomalyin financial markets where…

Read More

PAM006 Strategic Financial Project (SFP)

TweetShareSharePin0 SharesPAM006 Strategic Financial Project (SFP) Section 1 (90% weighting of this assignment)This should be submitted as a separate document and uploaded to the Project Turnitinsubmission link for this project via the designated relevant tab (section 1).Your Individual New business venture proposal/Workplace business-strategic plan reportYou are required to produce a 5-year business/strategic plan report.There are…

Read More

ECON3208/5048, Applied Econometric Methods, 2020 T3

TweetShareSharePin0 SharesECON3208/5048, Applied Econometric Methods, 2020 T3 ECON3208/5408 Course Project Description, 2020T3The Topic and DataThe topic is based on Kenkel and Terza (2001): The effect of physician advice on alcohol consumption(http://dx.doi.org/10.1002/jae.596, also included in the kit), where a major task is to estimate the effect ofadvice on drinks. The data (KTDATA.DTA) and a do-file (kt-temp.do)…

Read More

Value at Risk (VaR) – Market Risk Management Case Study

TweetShareSharePin22 SharesValue at Risk (VaR) – Market Risk Management Case Study Background Risk management in the financial industry is often supported by quantitative analysis applying various economic, mathematical or statistical techniques in order to better understand the range of possible outcome and uncertainties linked to financial positions. In this case study, we will evaluate the…

Read More