Sökning: "risk management in commodity futures"

Hittade 5 uppsatser innehållade orden risk management in commodity futures.

  1. 1. Swedish Equity Sectors Risk Management with Commodities : Revisiting dynamic conditional correlations and hedge ratios

    Magister-uppsats, Linköpings universitet/Nationalekonomi

    Författare :Daniel Engström; Niklas Gustafsson; [2017]
    Nyckelord :Hedging; hedge; commodities; futures; hedge ratio; conditional correlation; DCC; GO-GARCH; DCC-GARCH; GARCH; Dynamic conditional correlation; oil; GSCI; copper; gold; safe haven; optimal hedge ratio; finance; economics; markets; risk; risk management; hedge effectiveness; Risk; riskhantering; råvaror; terminer; futures; hedging; hedge; GARCH;

    Sammanfattning : The purpose of this study is to investigate changes in dynamic conditional correlations between Swedish equity sector indices and commodities using oil, gold, copper and a general commodity index. Additionally the purpose is to evaluate which of the two methods, DCC- GARCH or GO-GARCH that is more efficient in estimating correlation for hedge ratio calculation. LÄS MER

  3. 2. Hedging Instruments & Strategies For A Volatilie Asset In An Inefficient Market

    Kandidat-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Jens Edholm; Victor Björk Lindström; [2016]
    Nyckelord :Hedging; Compound Feed Index; Animal Compound Feed; Risk Management; Cross Hedging; Business and Economics;

    Sammanfattning : This Bachelors thesis involves the creation of a market place for animal compound feed risk management, potential hedging instruments and applicable risk management strategies. The market place is a cross hedged portfolio of futures contracts that correlate with the price of animal compound feed in Sweden, defined as an index and referred to as Compound Feed Index. LÄS MER

  4. 3. The effects of volatility and correlation on CTA strategies

    Magister-uppsats, KTH/Industriell ekonomi och organisation (Inst.)

    Författare :Kristoffer Lindkvist; [2012]
    Nyckelord :CTAs; Volatility; Correlation; Trend Following; Short Term; Fundamental; Managed Futures;

    Sammanfattning : Detta examensarbete analyserar effekterna av volatilitet och korrelation på trading strategier brukade av Commodity Trading Advisors (CTA´s). Denna studie bygger på en kvantitativ analys av data som insamlats från Barclay Hedge database. Studien har genomförts i samarbete med RPM Risk & Portfoliomanagement i Stockholm, Sverige. LÄS MER

  5. 4. Hedge Hunting the Polar Bear: The Tactical and Strategic Value of Commodity Futures on Nordic Markets

    D-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Författare :Victor Steien; Christian Wachtmeister; [2008]
    Nyckelord :Portfolio Diversification; Portfolio Optimization; Commodity Futures; Commodity Indices; GSCI;

    Sammanfattning : Despite the fact that commodity futures have been trading for hundreds of years, it is only recently that the debate has begun about including these assets in conventional portfolios. Much of the attraction of commodities emerges from their potential to produce equity-like returns while having low or even negative correlation with equities and bonds, thus providing considerable diversification benefits. LÄS MER

  7. 5. Finansiella instrument för svenska lantbruksföretag : riskhantering och finansiella instrument för lantbruksföretag i Sverige

    L3-uppsats, SLU/Dept. of Landscape Architecture, Planning and Management (from 130101)

    Författare :Joakim Larsson; [2004]
    Nyckelord :företagsekonomi; jordbruk; Sverige;

    Sammanfattning : The survey describes a number of risks that Swedish farming companies are exposed to. The risk areas covered by the survey are currency risks, price risks and financial risks. The survey further describes why these risks have a great impact on the future development of the farming companies. LÄS MER