Sökning: "tail events"
Visar resultat 1 - 5 av 21 uppsatser innehållade orden tail events.
1. Hantering av svenska investerares valutarisk i amerikanska tillgångar : Hur svansrisken i en amerikansk aktie och obligationsportfölj denominerad i SEK påverkas av en optimal valutahedge
Master-uppsats, Linköpings universitet/ProduktionsekonomiSammanfattning : För investerare vars portföljer utgörs av internationella investeringar är det i synnerhet viktigt att begrunda beroendestrukturen mellan internationella investeringar och valutakurser. Detta på grund av den valutarisk som investeraren exponerar sig mot utöver de internationella tillgångarnas inneboende risk. LÄS MER
2. The effects of political uncertainty on options: An empirical study of S&P 500, Euro Stoxx 50, and S&P sectors around political events
C-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiSammanfattning : We study options spanning political events and examine whether a price premium, associated with the political uncertainty from events, exists. First, we use recent data and replicate parts of Kelly, Pastor, and Veronesi (2016) by analysing how the price risk, variance risk, and tail risk associated with political events, affect equity options on the S&P 500 and Euro Stoxx 50 indices. LÄS MER
3. Considering Tail Events in Hedge Fund Portfolio Optimization
Master-uppsats, Linköpings universitet/ProduktionsekonomiSammanfattning : The Fourth Swedish National Pension Fund (AP4), as well as many other large investors, has noted deficiencies the Mean-Variance framework for portfolio management of asset with non-normal characteristics. The main problem apparent in the Mean-Variance framework, when investing in alternative assets such as hedge funds, is the lacking systematic control of the balance between the measurements of risk due normal variation and tail-risk. LÄS MER
4. Multiplicity and Classification of Final State Particles in Herwig7
Kandidat-uppsats, Lunds universitet/Teoretisk partikelfysik - Geonomgår omorganisationSammanfattning : In this work we investigate the hard and soft interactions in the multiple parton interactions (MPI) simulation in Herwig7. The investigation covers how the number of soft and hard interactions in an event is linked to the multiplicity of final state particles. LÄS MER
5. Are investors better safe than sorry? The impact of extreme losses in the return distribution on capital allocation in actively managed equity funds
C-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiSammanfattning : In this paper, we show that capital flow to actively managed equity funds is dependent on past extreme negative return states of the fund. Specifically, we examine how an extreme negative monthly payoff impacts the investment flow of actively managed equity funds in the following year, adjusting for past performance and other fund characteristics. LÄS MER
