Sökning: "Arbitrage pricing"
Visar resultat 1 - 5 av 37 uppsatser innehållade orden Arbitrage pricing.
- Kandidat-uppsats, Göteborgs universitet/Institutionen för nationalekonomi med statistik
Sammanfattning : This thesis investigates the macroeconomic factors that affect the returns on the different portfolios in Stockholm Stock Exchange by using Arbitrage Pricing Theory (Stephen Ross 1976). We use the portfolios of Large Cap, Mid Cap, Small Cap, and All Caps. Specifically, multiple index model is used. The sample period is 2012-2017. LÄS MER
- Master-uppsats, Lunds universitet/Matematisk statistik
Sammanfattning : Electricity differs from other commodities in that it cannot be stored. This non-storability characteristic results in traditional pricing methods for commodities not being applicable for electricity. An alternative pricing method is therefore needed and the solution is the Hourly Price Forward Curve (HPFC). LÄS MER
- Uppsats för yrkesexamina på avancerad nivå, Umeå universitet/Institutionen för fysik
Sammanfattning : Implied volatility surfaces are central tools used for pricing options. This thesis treats the topic of their construction. The main purpose is to uncover the most appropriate methodology for constructing implied volatility surfaces from discrete data and evaluate how well it performs. LÄS MER
- Kandidat-uppsats, Lunds universitet/Nationalekonomiska institutionen
Sammanfattning : In an efficient market, assets reflect all available information. Hence, investors cannot earn abnormal returns by conducting fundamental analysis since all financial data is impounded in the asset. The only way for an investor to earn higher returns is by incurring increased risk. LÄS MER
5. A Multi-Factor Stock Market Model with Regime-Switches, Student's T Margins, and Copula DependenciesMaster-uppsats, Linköpings universitet/Produktionsekonomi; Linköpings universitet/Produktionsekonomi
Sammanfattning : Investors constantly seek information that provides an edge over the market. One of the conventional methods is to find factors which can predict asset returns. In this study we improve the Fama and French Five-Factor model with Regime-Switches, student's t distributions and copula dependencies. LÄS MER