Change search
Refine search result
123 1 - 50 of 107
CiteExportLink to result list
Permanent link
Cite
Citation style
  • apa
  • harvard1
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf
Rows per page
  • 5
  • 10
  • 20
  • 50
  • 100
  • 250
Sort
  • Standard (Relevance)
  • Author A-Ö
  • Author Ö-A
  • Title A-Ö
  • Title Ö-A
  • Publication type A-Ö
  • Publication type Ö-A
  • Issued (Oldest first)
  • Issued (Newest first)
  • Created (Oldest first)
  • Created (Newest first)
  • Last updated (Oldest first)
  • Last updated (Newest first)
  • Standard (Relevance)
  • Author A-Ö
  • Author Ö-A
  • Title A-Ö
  • Title Ö-A
  • Publication type A-Ö
  • Publication type Ö-A
  • Issued (Oldest first)
  • Issued (Newest first)
  • Created (Oldest first)
  • Created (Newest first)
  • Last updated (Oldest first)
  • Last updated (Newest first)
Select
The maximal number of hits you can export is 250. When you want to export more records please use the 'Create feeds' function.
  • 1.
    Gip Orreborn, Jakob
    KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics.
    A dashboard for business forecast uncertainty modeling2015Independent thesis Basic level (degree of Bachelor), 10 credits / 15 HE creditsStudent thesis
    Abstract [en]

    As an innovation project at Ecole Central de Paris, we were to develop a SaaS platform (Software as a Service) giving the user the possibility to perform forecasts based on data coming from various posts of the income statement and/or sales data. The platform was supposed to be able to perform short-term, mid-term as well as long-term forecasts based on these data. The platform has been developed through the web application framework Django, which is based on the programming language Python. The forecasting algorithm used is based on the preceding project on the subject, however it has been modified and improved.

  • 2.
    Berg, Edvin
    et al.
    KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics.
    Orrsveden, Magnus
    KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics.
    A regression analysis of the factors affecting the ticket price in thetravel industry2017Independent thesis Basic level (degree of Bachelor), 10 credits / 15 HE creditsStudent thesis
    Abstract [en]

    This bachelor thesis in applied mathematics and industrial engineering and management investigates which factors that affect the price of tickets in the travel industry. This has been done by performing different multiple linear regression analyses based on the theory from mathematical statistics and econometrics. The analyses has been made with data that has been provided by MTR Express, containing data of departures of 2016 for the main operators in the railway and airline industry. The route that has been analysed is Stockholm - Gothenburg since this is the route where MTR Express has established its business in the railway market in Sweden. The results of the linear regression analysis show that the variables "Days before departure" and the weekday of travel have the most significant impact on the prices for both train and flight tickets. The final models have an explanation

    degree of 50% for the railway and 51% for the airline industry. The results show many similarities and correlations between the railway and airline industries. Furthermore, some interesting differences between these subindustries appeared in the final regression models and these have been one of the aspects in the discussion. The conclusion of the thesis is that there are several different aspects affecting the price in the travel industry

  • 3.
    Kövamees, Gustav
    et al.
    KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics.
    Penton, Sanna
    KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics.
    A Statistical Study of How Different Factors and the Availability of High-Speed Internet Affect Housing Prices2017Independent thesis Basic level (degree of Bachelor), 10 credits / 15 HE creditsStudent thesis
    Abstract [en]

    This paper presents an empirical study of the impact of different factors on real estate sales prices in the countryside of Sweden. Further, this thesis analyzes the value of broadband to Swedish households examining whether access to fiber is correlated with higher real estate sales prices. The research goal was to find what three factors that affect the sales price the most and further to determine whether consumers in Sweden are willing to pay more money for real estates located in areas where fiber broadband access is available, than for a property that does not offer this amenity.

    Using data collected from real estate sales during 2015 achieved from Valueguard and information regarding broadband access from The Swedish Post and Telecom Authority, a hedonic pricing model in real estate economics was applied. In order to evaluate how different factors influence real estate prices, sales statistics was analyzed through the mathematical method of multiple linear regression.

    One conclusion drawn from this thesis is that it is possible to explain approximately 66 % of the price of a single-family residential located in the Swedish countryside. The value of a property in the countryside is most dependent of where it is located, both in terms of municipality and also of how central and close to water it is situated within a smaller community. Results from this thesis also suggest that fiber availability may indeed have a positive effect on real estate prices, increasing them with 2.8% - 12%, as the presence of fiber-based broadband in a neighborhood area is increasing.

  • 4.
    Kareflod, Michaela
    et al.
    KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics.
    Ljungquist, Jennifer
    KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics.
    A Study of Hot el Occupancy: Using Multiple Linear Regression  and Market Strategy Analysis2016Independent thesis Basic level (degree of Bachelor), 10 credits / 15 HE creditsStudent thesis
    Abstract [en]

    This paper is based on collaboration between a company called StayAt HotelApart AB and two KTH students. It examines which factors that are influencing the hotel’s occupancy and how this may be increased by enhancing the market strategy. The aim is to provide a foundation for strategy development to the company. The study is performed by connecting applied mathematics with industrial management. The mathematical part is based on a multiple linear regression on occupancy with historical data from 2011 to 2016 mainly collected from StayAt.  The analysis of the market strategy is performed by means of the mathematical results and by using two marketing models, SWOT analysis and 4P’s. The result shows that relative price, weather, high- and low season for the hotel, months on market, occupancy for the competitive set, location and market shares are significant factors influencing the hotel’s occupancy. The main recommendations concluded from the analysis of the market strategy are to put effort on digitalisation, visualising the brand, publications, CSR initiatives, exploiting existing resources and carefully considering timing of marketing.

  • 5.
    Andersson, Nicole
    et al.
    KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics.
    Söderberg, Petra
    KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics.
    A study of the most important volume drivers for sparkling wine in Sweden2015Independent thesis Basic level (degree of Bachelor), 10 credits / 15 HE creditsStudent thesis
    Abstract [en]

    This paper examines the factors that affect volume of sparkling wine sold at licensed Swedish liquor stores. Regression analysis is used to model the relationship between the identified parameters believed to have an impact on the volume sold.

    Social sustainability is also covered, and will be examined in the context of a deregulated alcohol market in the future. A 5C analysis and an analysis based on both WACOSS Social Sustainability framework and Social Life’s framework have been conducted.

    Results from the regression analysis show that the parameters which affected the volume sold fell into three categories: Country, what kind of grape, and price. Most parameters affected the volume sold in a positive way; except for wines from New Zealand and higher priced wine which reduce the volume sold.

    This thesis arrives at the conclusion that a regulated alcohol market is favorable in Sweden since the aim is to keep the alcohol consumption low and the overall public health high. 

  • 6.
    Krylstedt, Johan
    et al.
    KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Optimization and Systems Theory.
    Weidlertz, Andreas
    KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Optimization and Systems Theory.
    A Study of Weather’s Impact on Consumption of Goods2016Independent thesis Basic level (degree of Bachelor), 10 credits / 15 HE creditsStudent thesis
    Abstract [en]

    This bachelor thesis in applied mathematics and industrial engineering aims to determine if and how weather affects the consumption of goods at small grocery stores. To study this, we conducted a regression analysis based on sales data from an ICA Nära. We have collected one year’s weather- and sales data and used mathematical statistics to determine how weather affects the sales for different product groups. Our belief is that weather does affect the consumption.

    Several large actors in the industry have some sort of consumption of goods forecast. None of these takes weather into account when creating their sale forecast. Hopefully, this thesis will provide information aiding companies in deciding whether or not to use weather forecasts as a prediction parameter. 

    The results indicate a large effect on sales for some groups of products. The regression reveals how much the sale of a group increase along with an increase of one unit of the different measured weather factors. There is, most likely, not a perfect linear relation between our response variable and the explanatory variables. Therefore, one must interpret the results carefully. In addition, we discuss how a possible implementation affects the supply chain of a large grocery store company and the importance of flexibility in one’s supply chain.

  • 7.
    Fahlén, Mattias
    KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics.
    A Study on factors affecting first-day returns of an IPO2017Independent thesis Basic level (degree of Bachelor), 10 credits / 15 HE creditsStudent thesis
    Abstract [en]

    This thesis studies factors that could affect first-day returns of an IPO on the Swedish stock market. The number of Swedish IPOs has increased over the past years and are often under-priced. By looking at factors previously studied as well as some new factors an attempt is made at explaining this phenomenon. The results show that tech companies have higher first-day returns that other companies based on the ICB standard. Moreover, return of the sector index, age of company and part of the year the IPO is made influences first-day returns. Considering the small dataset and some model violations no generalizations can be made. This thesis does not provide true answers but instead gives directions of where to look for them.

  • 8.
    Uyanga, Enkhzul
    et al.
    KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics.
    Wang, Lisa
    KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics.
    Algorithm that creates productcombinations based on customerdata analysis: An approach with Generalized Linear Modelsand Conditional Probabilities2017Independent thesis Basic level (degree of Bachelor), 10 credits / 15 HE creditsStudent thesis
    Abstract [en]

    This bachelor’s thesis is a combined study of applied mathematical statistics and industrial engineering and management implemented to develop an algorithm which creates product combinations based on customer data analysis for eleven AB. Mathematically, generalized linear modelling, combinatorics and conditional probabilities were applied to create sales prediction models, generate potential combinations and calculate the conditional probabilities of the combinations getting purchased. SWOT analysis was used to identify which factors can enhance the sales from an industrial engineering and management perspective.

    Based on the regression analysis, the study showed that the considered variables, which were sales prices, brands, ratings, purchase countries, purchase months and how new the products are, affected the sales amounts of the products. The algorithm takes a barcode of a product as an input and checks whether if the corresponding product type satisfies the requirements of predicted sales amount and conditional probability. The algorithm then returns a list of possible product combinations that fulfil the recommendations.

  • 9.
    Larsson, Joakim
    et al.
    KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics.
    Sjökvist, Henrik
    KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics.
    American Football: A Markovian Approach2016Independent thesis Basic level (degree of Bachelor), 10 credits / 15 HE creditsStudent thesis
    Abstract [en]

    This bachelor's thesis in applied mathematics & industrial economics is an attempt to model drives in American football using Markov chains. The transition matrix is obtained through logit regression analysis on historical data from the NFL. Different outcomes of drives are modelled as separate absorbing states in the Markov chain. Absorption probabilities are calculated representing the probabilities of each outcome. Results are tested against a Markov chain with the transition matrix based on frequency analysis. Three scoring rules unanimously declare the regression based model to be superior.

    The application of the model pertains to live sports betting. With the insight provided by the Markovian model, a bettor should be able to make statistically informed betting decisions. The prospect of creating a start-up based on the Markovian betting model is discussed.

  • 10.
    Maupin, Thomas
    KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics.
    An analysis on the prices of French wines and on a business plan of creating a wine app2016Independent thesis Basic level (degree of Bachelor), 10 credits / 15 HE creditsStudent thesis
    Abstract [en]

    The purpose of this thesis is to evaluate the influences behind the pricing of French wines by the use of Applied Mathematics and statistical analysis. A regression analysis, based on a literature review of a mathematical compendium, was executed to estimate the coefficients of 21 characteristics of French wines. To perform such analysis, 490 bottles of wines were picked independently from the most famous wine guide of France, the Guide Hachette des Vins. The data was collected in order to make a representation of the French wine production distribution. The final regression equation was reduced to 11 variables and acquired a low goodness of fit. The result may be adequate but not capable of an accurate prediction of the average price of a bottle of wine. The result can be used as an example on the presence of influences behind the pricing of a wine.

    By the use of regression analysis, a second research was shaped: the impact of a regression equation in the creation of a mobile wine application. With knowledge in Industrial Engineering and a literature study in the fields of e-business, SWOT-analysis, business planning and innovation strategy; a covering analysis was put together in hope to achieve a profitable business strategy. Enhancing a search engine in a wine app by the use of regression gives an edge against existing competitors. The rewards of a wine app are greater than the risks. Henceforth, the creation of a wine app is recommended. 

  • 11.
    Öhman, Eric
    KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics.
    Analys av bostadsrättspriser medmultipel linjär regression ochprissättning i praktiken2014Independent thesis Basic level (degree of Bachelor), 10 credits / 15 HE creditsStudent thesis
    Abstract [en]

    The purpose of this report is to examine the factors that affect the price of condominiums in downtown Stockholm and how much these factors affect the price with multiple linear regression.  The results of the regression analysis is used to create a model for pricing of condominiums in downtown Stockholm.  This model is compared to the methods that construction companies use when pricing newly built condominiums to see if the methods used today can be improved.  The work resulted in a model that gives an indication of how much various factors affect the price as well as a basis for valuation condominium in downtown Stockholm.  The methods used today were not improved by the results that were presented in this report.  The current methods have the advantage of its adaptability to a project's unique characteristics and boundaries of relevant markets.

  • 12.
    Alam, Amit
    et al.
    KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics.
    Inas, Yakub
    KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics.
    Analys av reporäntans påverkan på prissättningen av bostäder: Slår reporänteförändringar lika mycket på bostäder av olika storlek?2015Independent thesis Basic level (degree of Bachelor), 10 credits / 15 HE creditsStudent thesis
    Abstract [en]

    The aim of this study is to investigate whether changes of the repo rate has diverse effects on apartments of different sizes, targeting specific areas in Stockholm. A conclusion, that the effect of the repo rate differs for apartments of different sizes, was made based on regression analysis and hypothesis testing. The housing market is characterized by vast shifts and the repo rate has reached a historical low-point of -0.25 per cent. It is reflected upon how the central bank’s steering interest rate actually impacts the prices on the housing market and whether it has distinct effects on apartments of different sizes. Apartments sold between years 2005-2015 have been analyzed where the gravity of the repo rate has been taken into consideration and if its significance varies amongst apartments of different sizes. Important parameters concerning apartment prices have been utilized in the constructed model.

  • 13.
    Axelsson, Rebecca
    et al.
    KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics.
    Källsbo, Rebecca
    KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics.
    Analys av variabler som påverkar lönsamheten i gymbranschen med multipel linjär regression2015Independent thesis Basic level (degree of Bachelor), 10 credits / 15 HE creditsStudent thesis
    Abstract [en]

    This thesis combines mathematical statistics with industrial economics and management to examine the profitability of the fitness industry in Sweden. The study was conducted with a dozen fitness businesses and the data mainly consisted of the companies’ annual reports from 2009 to 2014. The operating margin is the measure for profitability used in the calculations. A survey was conducted with multiple linear regressions to identify explanatory variables that affect the profitability and the extent of influence by these variables. The results of the regression analysis are discussed from economic aspects. This thesis contributes with strategic conclusions to the development of a business model for new and existing fitness businesses that aim to maximize profitability. The thesis can also be used as a tool in strategic development and give insight to how companies should approach the market. It includes an analysis of the competitive forces and external factors that may affect companies in the industry. Risk factors and growth opportunities are taken into account in the discussion about how companies can finance their operations. The regression analysis concludes that it is primarily the factors that affect the companies’ revenues and costs that have a significant impact on profitability. However, the results of the thesis also indicate that qualitative factors have a major impact on profitability.

  • 14.
    Louivion, Simon
    et al.
    KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics.
    Pettersson, Felicia
    KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics.
    Analysis of Performance Measures That Affect NBA Salaries2017Independent thesis Basic level (degree of Bachelor), 10 credits / 15 HE creditsStudent thesis
    Abstract [en]

    This thesis investigates which factors that affect the salary for basketball players in the NBA and if the salary cap has achieved its purpose. The data for this project was collected from basketball-reference.com and consisted of performance measures from season 2015/2016 and salaries from the beginning of the season 2016/2017.

    The study was performed by using multiple linear regression analysis in the software R and the data was handled in Excel. The results from the regression indicates that position point guard, if the player has played in D-league or not,Age, Offensive rebounds, Assists, Steals, Two point attempts, Three point attempts, Free throw attempts, Field goal percentage, Usage percentage and Defensive rating are the main factors that affect the salary. The performance measures that had the greatest were two and three point attempts. The regression model achieved an explanatory level of 57:4%. In complementary to analyze if the salary cap has achieved its purpose, a literature analysis was used and showed that the salary cap systems in North America are neither accurately designed nor do they satisfy the intentions of what they were set to achieve.

  • 15.
    Rehnman, Gustav
    et al.
    KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics.
    Tigerschiöld, Ted
    KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics.
    Analysis of Student Loan Asset-Backed Securities: Construction of a Valuation Model using a Trinomial Interest Rate Tree2016Independent thesis Basic level (degree of Bachelor), 10 credits / 15 HE creditsStudent thesis
    Abstract [en]

    Student debt in the U.S has grown rapidly over the last decades. A common practice among lenders is to pool the loans into securities that are sold off and traded between institutional investors. Since these securities have no market price this thesis aims to develop a valuation model. A time discrete approach is used, based on the Hull-White short-rate model to create a trinomial interest rate tree. This tree serves as a basis for the discounting of future cash flows generated from a specific student loan asset-backed security. In order to assess the credit risk, the student loan market and potential speculative bubbles are discussed.

    The model is applied on the ”Navient Student Loan Trust 2015-2” and each tranche’s intrinsic value and yield to maturity is calculated. Since the model lacks proper quantification of the credit risk, the result is a valuation model that is best used when valuing asset-backed securities that can be deemed risk- free.

  • 16.
    Palmgren, Ida
    et al.
    KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics.
    Soc Deschaeck, Emma
    KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics.
    Analyzing the Factors that Drive Wine Sales in Sweden: A Regression Analysis2016Independent thesis Basic level (degree of Bachelor), 10 credits / 15 HE creditsStudent thesis
    Abstract [en]

    This thesis is a combined study of applied mathematical statistics and industrial engineering and management implemented to analyze and determine the success factors in the Swedish wine market to increase the profitability of wine producers. Hence, this thesis applied both a quantitative and qualitative approach to address this aim. From a mathematical perspective, a linear regression model was applied on red and white wine to identify how wine characteristics affect the number of bottles sold. The regression is based on data obtained from Systembolaget, consisting of the sales statistics from 2015. From an industrial engineering and management perspective, the theories of Humphery and Kotler and Armstrong are applied on the wine market to obtain further sources of profitability for the wine producers.

    The results of the quantitative analysis showed that there are different factors affecting the sales of red and white wine. For red wine the most important positive factors were taste category and certain grapes. For white wine the success factors were taste category and country of origin. Common for both red and white wine were that the number of stores increased the sales, while the price impacted the sales negatively.

    The results of the qualitative analysis revealed the importance of understanding target market and customer as well as having a distinct value proposition. Furthermore, the usage of theories, such as SWOT analysis and the 4Ps, demonstrated the significance of using different types of tools to increase sales and profitability. To conclude, a combination of the quantitative and the qualitative analyses this thesis presents, may offer the wine producers a greater insight to the Swedish market, and as well the proper tools to increase their sales.

  • 17.
    Alic, Almedina
    et al.
    KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics.
    Emilsson, Caroline
    KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics.
    Att modellera utfallen i en fotbollsmatch: med multinomial respektive ordinal logistisk regression2016Independent thesis Basic level (degree of Bachelor), 10 credits / 15 HE creditsStudent thesis
    Abstract [en]

    This study examines how well multinomial and ordinal logistic regressions predict the outcome of football games. The two models have been used for comparison, since the multinomial logistic model treats the outcome as nominal while the ordinal model treats the outcome as ordered variables, 1 > X > 2. The outcome of the game is affected by quantitative explanatory variables, based on data from Premier League 2015/2016, which describe the teams form and performance. 

    The multinomial model has a prediction measure of 53.4 % and the ordinal model has a prediction measure of 43.8 %. Furthermore, most of the explanatory variables have small and unexpected influence. The conclusion is that modeling with solely historical data is a good basis, but can be improved. In future research the number of observations should be increased and the model should be tested on data different from the one used to develop the model. Furthermore, the goal difference could be used as the response variable, to examine if the prediction measure improves.

    The mathematical study is completed with an industrial management approach, which consists of an analysis of the betting industry with Porters Five Forces and suggestions of establishment strategies with focus on marketing. Because of the Swedish gambling monopoly, the competition from local operators is limited, but foreign network operators increase their market shares. A new foreign network operator must thus use digital distribution channels to reach the Swedish betting market. The Swedish consumer is price sensitive, why transaction marketing with focus on 4P, above all price, is preferable towards these.

  • 18.
    Häggbom, Maria
    et al.
    KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Optimization and Systems Theory.
    Åsenius, karin
    KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Optimization and Systems Theory.
    Bemanningsplanering för butiker inom telekombranschen: En fallstudie över Tele2butikernas bemanningsbehov2015Independent thesis Basic level (degree of Bachelor), 10 credits / 15 HE creditsStudent thesis
    Abstract [en]

    Is it possible to increase the costumer conversion rate with an increase in store staffing levels? What is the best staffing level in order to provide all potential customers desired assistance and waiting time? Is it possible to mathematically construct model for staffing from historical data?

    This report investigates the possibility to predict costumer entry and purchase pattern in stores within the telecom industry at a level of statistical importance. This is done in order to forecast future staffing needs and to optimize salary costs with regards to future revenue.

    This report shows that it is possible to predict expected costumer arrival rate with a level of statistical importance that allows customer arrival rate as a base for staffing levels. It can also be shown that purchase pattern and service times are an important factor in forecasting future staffing levels. It also shows that these factors are harder to predict at a level of statistical importance. The report shows that it is possible to mathematically construct recommended minimum staffing levels in order to serve all costumers. It shows that customer conversion rate is increased by an increase in the number of sales stations.

  • 19.
    Berglund, André
    et al.
    KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics.
    Hellgren, Erik
    KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics.
    Bolåneräntor i Sverige: Enanalys av individuella räntor med multipel linjär regression2014Independent thesis Basic level (degree of Bachelor), 10 credits / 15 HE creditsStudent thesis
    Abstract [en]

    This report investigates how a number of customer-specific factors affect individual interest rates for Swedish home mortgages. The method used is multiple linear regression with transformations of the explanatory variables. Transformations that we employ are log-linear, linear-log, log-log and piecewise linear. The dataset consists of approximately 7000 Swedish home mortgages with floating interest rates from July 2013. Loan to value ratio, loan size and the the choice of mortgage lender are identified as the most important factors that influence individual interest rates. We find that large loans in combination with low loan to value ratio tend to lead to lower interest rates. There are also significant differences in interest rates depending on the mortgage lender.

  • 20.
    Holm, Stephanie
    et al.
    KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics.
    Stegare, Sara
    KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics.
    Default Prediction of a Swedish Mortgage Portfolio using Logistic Regression2017Independent thesis Basic level (degree of Bachelor), 10 credits / 15 HE creditsStudent thesis
    Abstract [en]

    This thesis was conducted to investigate what factors are important for a financial institute when predicting the risk of default for a Swedish mortgage portfolio. The applied method was logistic regression analysis and the data used in the thesis was received from a Swedish financial institute. Many of the conducted studies assessing the risk of default only considers five to ten covariates. This thesis started by 29 covariates, ending up in a final model with 16 covariates included. The most important covariates were shown to be pressure of payments, the sum of assets and the time as customer at the financial institute. The derived final model showed a high predictive ability and provides insight of significant drivers of default for a Swedish mortgage portfolio. Considering the alarming housing market in Sweden, and the subprime crisis in the U.S 2008, the subject is highly relevant. 

  • 21.
    Denés, August
    et al.
    KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics.
    Lindblom, Martin
    KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics.
    Determining Important Factors for Profiability in Dietary Supplement Retailing by Multiple Linear Regression2016Independent thesis Basic level (degree of Bachelor), 10 credits / 15 HE creditsStudent thesis
    Abstract [en]

    This thesis in applied statistics and industrial economics examined which factors and strategies that had a statistically significant impact on profitability, within the business to consumer dietary supplement market. The data this thesis was based on consisted of several annual reports from the year 2011 to 2015ånd other strategic information. The data included 19 different dietary supplement retailers on the Swedish market. In order to establish which factors had a significant impact on profitability, a linear regression was used. The result was an identified linear relationship between Operating Margin and the covariates Solidity, Average Salary, Only Own Brand, Free Returns, Student Discounts and Chat. A market analysis was then performed using Porter's five forces and a PEST analysis. The analysis concluded that the market is attractive but there are a few uncertainties surrounding the future development of the dietary supplement retailing market.

  • 22.
    Falkenborn, Filip
    et al.
    KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics.
    Lahlou, Mehdi
    KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics.
    Do Correlations Between Macroeconomic Variables and Equity Return Change during Volatile Times?: A statistical Analysis with Focus on the Oil Crisis 20142015Independent thesis Basic level (degree of Bachelor), 10 credits / 15 HE creditsStudent thesis
    Abstract [en]

    Every investor place his or her investment with the desire of maximum return with lowest possible risk. To accomplish this desire a good knowledge of how macro variables affect the equity return is important. During the last two decades we have had several crises turning these basics up-side-down.

    This thesis aims to examine how macroeconomic variables have affected the equity return during stable times and further analyse what impact the recent oil crisis have had on these correlations. This research is limited to only a few selected counties in Europe, namely Germany, Sweden, France, Norway and United Kingdom. We have analysed this phenomenon using multiple linear regressions with a lagged dependent variable on data from February 2010 to August 2014. The data was gathered from 55 consecutive months before the oil crises and also during the six succeeding months of volatility. The obtained models from tranquil times were then used to predict stock development during times of turmoil. The estimated index values in each country were then compared to the actual outcome. From these comparisons it was possible to determine if the models were accurate even in times of crisis.

    Our results confirms many of the known correlations between macro variables and equity prices during stable times, but also produces more unforeseen findings. The results we came across further implies that the models are not suited for predicting the performances in times of uncertainty. This conclusion was drawn by investigating the probabilities of occurrence for the estimated returns, using the obtained models. Germany and Sweden appeared to yield particularly high returns during the time of turmoil while the Norwegian stock market instead decreased in value.

  • 23.
    Börjesson, Oscar
    et al.
    KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics.
    HaQ, Sebastian Rezwanul
    KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematics (Div.).
    Do hedge funds yield greater risk-adjusted rate of  returns than mutual funds?A quantitative study comparing hedge funds to mutual funds and hedge fund strategies2014Independent thesis Basic level (degree of Bachelor), 10 credits / 15 HE creditsStudent thesis
    Abstract [en]

    In recent times, the popularity of hedge funds has undoubtedly increased. There are shared opinions on whether hedge funds generate absolute rates of returns and whether they provide a strong alternative investment to mutual funds. This thesis aims to examine whether hedge funds with different investment strategies create absolute returns and if certain investment strategies outperform others. This thesis compares hedge funds risk-adjusted rate of return towards mutual funds, such as mutual funds, to see if certain investment strategies are more lucrative than the corresponding investments in terms of excess returns to corresponding indices. An econometric approach was applied to search for significant differences in risk-adjusted returns of hedge funds in contrast to mutual funds.

    Our results show that Swedish hedge funds do not generate as high risk-adjusted returns as Swedish mutual funds. In regard to the best performing hedge fund strategy, the results are inconclusive. Also, we do not find any evidence that hedge funds violate the effective market hypothesis.

  • 24.
    Holmsäter, Sara
    et al.
    KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics.
    Leijon, Anna
    KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics.
    Drivande faktorer bakom Tv-tittandepå den svenska marknaden: En regressionsanalys utifrån definierade målgrupper2014Independent thesis Basic level (degree of Bachelor), 10 credits / 15 HE creditsStudent thesis
    Abstract [en]

    This bachelor’s thesis investigates whether multiple linear regression analysis can be applied to analyse TV audience measurements in order to examine and draw conclusions about which program dynamics factors contribute to high ratings. The data that forms the basis for this analysis comes from Media Measurement in Scandinavia, MMS. The conclusion that has been drawn in this bachelor’s thesis is that it is possible, but not without difficulty, to apply regression analysis on MMS data. It requires, among other things, extensive processing of the data, but also a formulation of the program categories which are to be examined. In addition, the TV audience measurement as the Ƴvariable in the model is limited from above as well as from below, which requires transformation of the Y-variable for it to be used in regression modelling. In this bachelor’s thesis, the logarithm of is (Ƴ+1) used. Conclusions that could be drawn about program dynamics factors is that TV6 reaches its target audience well, while TV3, TV8 and TV10 can improve their TV guide, in order to better reach out to their target audiences. Program categories such as Talk Shows, Help TV series and Knockout Competitions drive high viewer ratings, while the weather forecast in the Newscast should be excluded, since most people change the channel when it begins. Continued use of regressions analysis on TV audience measurement is recommended, as it is a rich area where new regression models can be set up to investigate further and /or more specific variables which affect television viewing ratings.

  • 25.
    Edman, Fanny
    et al.
    KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Optimization and Systems Theory.
    Persson, Axel
    KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Optimization and Systems Theory.
    Effektiv standardhöjning ur ett Malmöperspektiv2015Independent thesis Basic level (degree of Bachelor), 10 credits / 15 HE creditsStudent thesis
    Abstract [en]

    Rental pricing in Sweden have endured criticism the latest decades due to its non-concrete structure. As an answer to this, in year 2003, Malmö introduced a new model for valuing rental prices for apartments.

    The model was named Malmömodellen and consists of 180 parameters valuing apartment standard and location. The parameter-value combined with type of apartment and size defines the guidelines for allowed pricing by landlords.

    The model has well defined the basis for rents but also highlighted were extra revenue can be generated through investments in existing holdings - by so called Standardhöjning.

    The Swedish real estate sector is characterized by longterm management and has not yet recognized the full potential in the model. Companies are applying simplified models, which are easier to overlook but not always optimal in terms of profit maximization.

    Investments in apartmens is conditioned by the tenants acceptence. Based on statistical data regarding earlier offering of standardhöjning, the willingness to pay in relationship to type and size of apartments has been analyzed and modelled. The result shows that the willingness to pay is higher in larger apartments which implies that revenue is being lost by applying a simplified model.

    The report shows that for every property there is an optimal pricing strategy which is a combination of the guidelines in Malmömodellen and a simplified model. The price should consist of a floating part proportional to the size of the apartment and a fixed part. The optimal pricing stragy depends on the distribution of apartments within the property and the investment cost.

    The model is further criticized due to its transparency disfavouring necessary investments with low returns. This especially penalize socially vurnable areas were the willingness to pay is low. The discussion takes into consideration the pros and cons regarding the economic effects of a regulated price cap.

  • 26.
    Fornander, Eric
    et al.
    KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics.
    Park, Simon
    KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics.
    En nyttomaximerande skola i det innovationsdrivna samhället2016Independent thesis Basic level (degree of Bachelor), 10 credits / 15 HE creditsStudent thesis
    Abstract [en]

    This thesis within mathematical statistics and industrial economics forms a foundation which explains how Sweden and other innovation-driven countries can act to achieve an efficient school. Multiple linear regression is used to identify explanatory variables that affect the results on the PISA test and factors that foster innovation are examined via a literature review. The included variables in the regression analysis were chosen out of four perspectives: general, school, teaching and student. The result showed that significant variables were found in all four perspectives. Moreover, the literature review was based on an individual perspective and an organisational perspective. The results are presented as an extensive overview of factors that affect innovation. A conclusion that higher teacher salaries and better quality of equipment in schools lead to more efficient learning is drawn. However, smaller class sizes do not affect quality of learning and more time spent in school by students affects the quality of learning negatively. Further conclusions are that schools should focus on group-based work instead of individual work. Students should also be taught to redefine problems and combine knowledge from different subjects to a greater extent.

  • 27.
    Lange, Ram
    et al.
    KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics.
    Tesch, Nils
    KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics.
    En sannolikhetsanalys av besiktningsförelägganden för Scanias lastbilar: Tillsynsavtal och påbyggnationers inverkan2015Independent thesis Basic level (degree of Bachelor), 10 credits / 15 HE creditsStudent thesis
    Abstract [en]

    This report investigates whether it is more or less likely that older vehicles using one of Scanias maintenance contracts Tillsynsavtal receives an inspection note. It also investigates if one or multiple types of superstructures, such as cranes, dumps, hoists and winches, on a truck might have an impact on the probability that the truck receives an inspection note. Two hypotheses has been formulated and investigated by logistic regression. The results show that it is less likely that an older vehicle using the maintenance contract receives an inspection note. Trucks with multiple superstructures can both be more and less likely to receive an inspection note (depending on the combination). Trucks with just one type of superstructure can however not be shown to be more or less likely to receive an inspection note.

  • 28.
    Nilsson, Mattias
    et al.
    KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics.
    Sandberg, Erik
    KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics.
    En studie av prissättningen av strukturerade produkter på den svenska finansiella marknaden2016Independent thesis Basic level (degree of Bachelor), 10 credits / 15 HE creditsStudent thesis
    Abstract [en]

    This study aims to analyse the market for structured products in general and the pricing of equity­linked bonds and warrants in particular. The price of the equity­linked bonds is calculated combining the Black­Scholes­Merton’s model for pricing options with bond theory and the pricing of warrants is also modeled with Black­Scholes­Merton’s model. Thereafter the study examines whether the four major Swedish banks’ stated arrangement fees are consistent with the true estimated fees according to financial theory. The result indicates on a general level that the true fees exceed the fees that are stated in the term sheets of the products. The study further connects the result to the banks’ way of conducting business on the financial market for structured products, viewed from a CSR perspective, and analyses how fair the market is for private investors. The conclusion is that the banks have made progress with regards to CSR in recent years, with new laws and regulations in place. However there is still aspects that can be improved for the market of structured products to become more transparent and fair.

  • 29.
    Hedblom, Edvin
    et al.
    KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics.
    Åkerblom, Rasmus
    KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics.
    En studie om relationen mellan Portföljstruktur och riskjusterad avkastining2017Independent thesis Basic level (degree of Bachelor), 10 credits / 15 HE creditsStudent thesis
    Abstract [en]

    The study has created a model describing the relationship between risk adjusted return and a certain quantified portfolio allocation, including variables such as number of stock holdings and number of currencies. The data has been extracted from the online stockbroker Avanza’s database and the method used for modelling is multiple linear regression. The result is partially in line with earlier studies, showing a significant model but with a low coefficient of multiple determination. The model and correlations between independent variables are used to suggest implementations at Avanza.

  • 30.
    Ahlin, Filip
    et al.
    KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Optimization and Systems Theory.
    Wahlstedt, Anton
    KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Optimization and Systems Theory.
    ESG-investerande och portföljresultat: En studie av ESG-investerande utifrån metoden bäst-i-klassen2015Independent thesis Basic level (degree of Bachelor), 10 credits / 15 HE creditsStudent thesis
    Abstract [en]

    As a result of a more globalized and industrial world, sustainability issues in terms of the environment and society has become an everyday heading in the financial world. The fact that companies should work actively towards sustainability and accountability is today a necessity rather than a choice. The purpose of this study is to research responsible investment (RI) and portfolio performance. To examine this relationship the study focuses on ESG where its dimensions will be included jointly through optimization, discussion and conclusion. The report outlines how ESG can be integrated into the investment process, but the weight of the study addresses the discussion of a portfolio's performance at the inclusion of ESG. Methods used are Modern Portfolio Theory (MPT) combined with the implementation of ESG according to "best-in-class". The results of the study lead towards the conclusion that ESG in addition to its positive effects, provided an accurate assessment, on sustainability also is financially arguable for investors.

  • 31.
    Engman, Kristofer
    et al.
    KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics.
    Ålander, Betty
    KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics.
    Exploring the Factors of the Credit Default Swap Spread in Different Business Sectors2017Independent thesis Basic level (degree of Bachelor), 10 credits / 15 HE creditsStudent thesis
    Abstract [en]

    In this study, we investigate the effect of market factors on credit default swap spreads aggregated by specific business sectors. The market factors include commodity spot prices, foreign exchange spot prices, equity index prices and interest swap rates. Using linear regression modelling, we find that many of the factors are correlated to the credit default swap spreads. To examine the collective effect of the factors on the credit default swap spread, we produce linear models using best subsets regression.

    The empirical results suggest that many of the factors are significant in explaining the credit default swap. Our models show significance of regression on a 99% level, and most variables have correlations that are consistent with previous research. Notably, we find that the factors show different levels of significance for each of the sectors. Based on this investigation we conclude that there in fact exist relationships between the market factors and the credit default swap spread changes, and that these relationships are business sector specific.

  • 32.
    Janér, Ida
    et al.
    KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics.
    Karlsson, Stina
    KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics.
    Factors Affecting the Price of Airline Tickets: A case study within regression analysis2016Independent thesis Basic level (degree of Bachelor), 10 credits / 15 HE creditsStudent thesis
    Abstract [en]

    This report investigates which factors have an impact on the price of airline tickets and what their impact is. This is done by performing a multiple linear regression analysis. The logic is to be able to establish when it is the best time to book and to leave, as to attain the lowest price. Regressions were run per destination, where the results for Bangkok and London were specifically presented, out of six destinations examined. Three of these are within Europe and three are at a longer distance. Based on the results, the concept of finding two corresponding general models was also explored and it was found that this was possible, to some extent. The same factors were found to have an impact on all destinations, although their impacts varied some. These factors were the weekday of the outbound and inbound flight, the departure airport, the month of the outbound flight, the number of days between the booking and the outbound flight, and finally, if there was a holiday during the trip.

  • 33.
    Andersson, Gabriella
    et al.
    KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics.
    Karlsson, Louise
    KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics.
    Factors affecting the proportion of smartphone usage at Flygresor.se2017Independent thesis Basic level (degree of Bachelor), 10 credits / 15 HE creditsStudent thesis
    Abstract [en]

    Digitization has changed the way people access the internet. Smartphones is soon to be the preferred internet access device leading us into a new generation of e-commerce, namely mobile commerce or m-commerce. The on-going transition, from desktop to smartphone has led to an uprising problem for companies within the area of e-commerce. Visitors coming from a smartphone device tend to not go through with the purchase. With this transition in mind, the thesis aimed to identify the factors that affect the proportion of smartphone visitors on a website, more specifically at the flight comparison site Flygresor.se. The method used was multiple linear regression analysis. To see whether the chosen factors affected the proportion of smartphone transactions or just the proportion of smartphone sessions two regression were performed. One with response variable Sessions and one with response variable Transactions, where Sessions refer to the number of visitors on the website and Transactions refer to the number of visitors moving on to the final booking website. The explanatory variables used were divided into four categories; Marketing, Channels, Season and Other, where the category Other contained the variables Total number of visitors and Amount of MB used per smartphone subscription. The study showed that all categories contained variables with significant impact on both of the response variables. There was only one variable that had different impact on the models, namely the Total number of visitors. The result indicates that smartphone users tend to, in comparison with desktop users, to a less extent continue to the final booking website. Since there were no other variables that only had an impact on Transactions it was assumed that there exist other factors which have a greater impact on smartphone users tendency to finalize a booking.

  • 34.
    Malmberg, Emilie
    et al.
    KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics.
    Sjöberg, Jonas
    KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics.
    Förklarande faktorer bakom statsobligationsspread mellan USA och Tyskland2014Independent thesis Basic level (degree of Bachelor), 10 credits / 15 HE creditsStudent thesis
    Abstract [en]

     

    This bachelor’s thesis in Mathematical Statistics and Industrial Economics aims to determine explanatory variables of yield spread between U.S. and German government bonds. The bonds used in this thesis have maturities of five and ten years. To accomplish the task at hand, a multiple linear regression model is used. Regression models are commonly used to describe government bond spread, and this bachelor’s thesis aims to create a basis for further modeling and contribute to improvement of existing models. The problem formulation and course of action have been developed in cooperation with a Swedish bank, not named for reasons of confidentiality. Two main parts constitute this bachelor’s thesis. The Industrial Economics part investigates which macroeconomic factors are of interest in order to create the model. The economics are (in this case) the statistical context, which emphasizes the importance of this part. For the mathematical part of the thesis, a multiple linear regression and related statistical tests are performed on the chosen variables. The results of these tests indicate that the policy rate spread between the countries is the most significant variable, and in itself describes the government bond spread quite well. However, the policy rate does not seem to describe the bond spread as well regarding the last five years. This gives a hint that the importance of the variable policy spread is diminishing, while the importance of other factors is increasing.

  • 35.
    Knobel, Karin
    et al.
    KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics.
    Laestadius, Lovisa
    KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics.
    Förnyelsegrad och priskänslighet inom företagsförsäkringar: En fallstudie hos If Skadeförsäkringar baserad på logistisk regressionsanalys2016Independent thesis Basic level (degree of Bachelor), 10 credits / 15 HE creditsStudent thesis
    Abstract [en]

    This thesis combines mathematical statistics and industrial economics and management to investigate renewal rate and price sensitivity within commercial insurance. It is carried out through a case study at the insurance company If Skadeförsäkringar based on their Norwegian customers who received a renewal offer in 2014. The first part of this paper covers renewal rate whilst the second part covers price sensitivity related to price optimisation. The method used to examine renewal rate is logistic regression analysis. At a 95% significance level the prediction variables Commitment diversification, Duration, Price change, Premium volume, Size, Industry and Claim history are proven to be significant. Together these variables have a predictive power of 63.5%. Several qualitative variables, which are likely to explain the lack of complete predictive power, are discussed in this paper. A measure of price sensitivity is thereafter generated from the final regression model. Furthermore this measure of price sensitivity is connected to theories of price optimisation in insurance. These theories are based on a literature review and an interview with salesmen at If. The conclusion can be drawn that price optimisation in insurance is controversial and currently a matter in debate.

  • 36.
    Broström, Axel
    et al.
    KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics.
    Krstiansson, Richard
    KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics.
    Gap Premium Pricing in Leveraged Exchange Traded Notes2016Independent thesis Basic level (degree of Bachelor), 10 credits / 15 HE creditsStudent thesis
    Abstract [en]

    Exchange traded notes have recently seen a surge in popularity. Investors are pouring cash into these debt securities that track various underlying assets. Riskier leveraged exchange traded notes replicate the daily return of the underlying asset multiplied by a lever. Investors pay various fees for holding these securities, many of which are obscure and hidden. The study has researched what hedging fees an underwriter should charge investors. The study has produced two models for pricing these hedging fees: one using insurance pricing based on historical losses and another using arbitrage pricing based on the Black- Scholes model. The models have been used to price leveraged exchange traded notes with a lever of 15 tracking the OMXS30 as the underlying asset, showing that all underwriters but one are within a reasonable price range. A discussion concerning investors risk taking from a behavioral finance perspective and its connection to leveraged exchange traded notes is also included.

  • 37.
    Touma, Peter
    KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics.
    Greek-efficient Portfolios and Predictability of Powers of Returns2015Independent thesis Basic level (degree of Bachelor), 10 credits / 15 HE creditsStudent thesis
    Abstract [en]

    This paper will introduce the notion of Greek-efficient portfolios as first described in 'Portfolio Selection with Options' by Professor Semyon Malamud (2014). I will discuss the need of introducing an analogy of mean-variance efficient portfolios with stocks to apply to portfolios with options.

    These portfolios will be shown to be replicated by trading contingent claims on stocks paying out powers of returns. As suggested by Malamud (2014), the construction of Greek-efficient portfolios in practice is feasible if the power returns of stocks are predictable. This project finds that squared and cubic returns indeed are predictable by variables observable in the market for stocks in the Nasdaq100 index. The results were however inconclusive for stocks in the larger S&P500 index mainly due to the frequency of changes in the index and scarcity of data for stocks with a less varied option chain.

    Thus, this project suggests that the construction of Greek-efficient portfolios is feasible without having unrealistically high transaction costs.

  • 38.
    Marakbi, Zakaria
    et al.
    KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Optimization and Systems Theory.
    LOPEZ VYDRIN, CARLOS JUNIOR
    KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Optimization and Systems Theory.
    High Yield Corporate Bond Portfolio Optimization2014Independent thesis Basic level (degree of Bachelor), 10 credits / 15 HE creditsStudent thesis
    Abstract [en]

    The fixed maturity, cash flow and risk characteristics of high-yield corporate bonds distinguish them from equities and complicate a direct application of well established optimization techniques such as Markowitz's mean-variance model and Sharpe ratio maximization. This can partly explain why qualitative methods constitute the dominant design in the portfolio selection process of high-yield corporate bonds. This thesis attempts to employ elements from Markowitz's theories and combine them with optimization- as well as financial theory in order to develop a quantitative optimization model. In addition, we examine the possibilities for a shift in the existing dominant design. A risk-neutral pricing model were used to estimate default probabilities of high yield corporate bonds. To approximate the covariance matrix, a new application of the single-index method were proposed. The derived optimization models produced results that coincide with financial theory regarding risk, return and diversification. Furthermore, an examination of a potential shift in the current dominant design suggests that a shift is not likely to occur in the near future. A reoccurring remark in this thesis is the importance to understand the underlying assumptions behind any quantitative model, suggesting that quantitative models can merely be used as a tool in combination with a human judgement.

  • 39.
    Jönsson, Carl Axel
    et al.
    KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics.
    Tarukoski, Emil
    KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics.
    How does an appointed ceo influence the stock price?: A Multiple Regression Approach2017Independent thesis Basic level (degree of Bachelor), 10 credits / 15 HE creditsStudent thesis
    Abstract [en]

    When a publicly traded company changes CEOs, the stock market will react in either a positive or negative way. This thesis uses multiple regression analysis to investigate which characteristics of the personal profile of the new CEO that might evoke positive or negative reactions from the stock market, both on one-day and one-year time perspectives. The mathematical results are compared to professional opinions regarding what defines an optimal CEO. The inefficiency of the financial markets and complexity of stocks make the mathematical results mostly insignificant. The only correlations found were a positive correlation for highly paid CEOs and a negative correlation for insider recruitment. The thesis concludes that an optimal CEO is defined by its leadership abilities, not by its personal profile.

  • 40.
    Lagerqvist, Sofia
    KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Optimization and Systems Theory.
    Hur kan trängelskatt reducera köerna i Stockholm under rusningstrafiken?: Och vilka är effekterna på detaljhandeln?2014Independent thesis Basic level (degree of Bachelor), 10 credits / 15 HE creditsStudent thesis
    Abstract [en]

    The purpose of this thesis was to investigate how congestion fees can optimize traffic during rush hours in the downtown of Stockholm between 05.30 and 09.30. The optimization is performed due to minimizing queue length, which is defined as the difference between incoming cars during a certain time and number of cars leaving the road during the same time. The queue length is optimized partly through the motorists’ point of view, which favors small queues, and partly through Stockholms stads perspective. Stockholms stad favors less traffic but still wants to keep the same income. This and an upper bound for the price increase are the constraints to the optimization problem. The study relies on data from the result of the Stockholm trial and data of incoming cars during different times at Johanneshovsbron, Skanstullbron and Skansbron. These three roads connect to the downtown of Stockholm from the south. Introducing congestion fees might als