Sökning: "risk parity"

Visar resultat 1 - 5 av 43 uppsatser innehållade orden risk parity.

  1. 1. A Quantitative Framework for Constructing a Multi-Asset CTA with a Momentum-Based Approach

    Uppsats för yrkesexamina på avancerad nivå, Uppsala universitet/Datalogi

    Författare :Rebecca Fällström; [2023]
    Nyckelord :Commodity trading advisors; CTA; trend-following; momentum strategies; risk parity; equally weighted; Markowitz weights; optimization;

    Sammanfattning : Commodity Trading Advisors (CTAs) have gained popularity due to their abilities to generate an absolute return strategy. Little is known about how CTAs work and what variables are important to tune in order to create a profitable strategy. LÄS MER

  3. 2. Förhåller sig penningtvättslagen till dataskyddsförordningen? - Studie huruvida bestämmelserna om dataskydd försvårar kundkännedomsprocessen för banker

    Kandidat-uppsats, Lunds universitet/Institutionen för handelsrätt

    Författare :Rina Uka; [2022]
    Nyckelord :Dataskyddsförordningen GDPR ; Penningtvätt; Kundkännedom; Bank; Law and Political Science;

    Sammanfattning : Today, the world is characterized by technological development that could be considered both as an advantage and a disadvantage. For the criminal world and organized economic crime, digitalization is seen as an advantage. LÄS MER

  4. 3. Currency Substitution and Risk Management

    Magister-uppsats, Lunds universitet/Företagsekonomiska institutionen

    Författare :Andreas Windahl; Jóel Ísak Jóelsson; [2022]
    Nyckelord :Risk Management; Natural Resources; Fisheries Management; Functional Currency; Purchasing Power Parity; Business and Economics;

    Sammanfattning : .... LÄS MER

  5. 4. Hierarchical Portfolio Allocation with Community Detection

    Master-uppsats, KTH/Matematik (Avd.)

    Författare :Kiar Fatah; Taariq Nazar; [2022]
    Nyckelord :Portfolio Allocation; Hierarchical Clustering; Graph Theory; Community Detection; Modern Portfolio Theory; Portföljallokering; Hierarkisk klustring; Grafteori; Community Detection; Modern Portföljteori;

    Sammanfattning : Traditionally, practitioners use modern portfolio theory to invest optimally. Its appeal lies in its mathematical simplicity and elegance. However, despite its beauty, the theory it is plagued with many problems, which are in combination called the Markowitz curse. LÄS MER

  7. 5. Exchange Rate Risk and Forecasting

    Kandidat-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Ian Wallgren; [2022]
    Nyckelord :Exchange rate risk; exchange rate forecasting; Autoregressive Integrated Moving Average ARIMA ; Uncovered Interest Rate Parity UIRP ; Business and Economics;

    Sammanfattning : Since the collapse of the Bretton Woods system, the system of fixed exchange rates amongst principal industrial countries, in the early 1970s, a new era began, introducing the floating exchange rate regime. Since the inception of the floating rate regime, the general interest in forecasting exchange rate movements has grown considerably. LÄS MER