Sökning: "Asset classes"

Visar resultat 6 - 10 av 95 uppsatser innehållade orden Asset classes.

1. 6. In the Core of the Storm: Revisiting Inflation Hedging Properties Within and Across Asset Classes

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

   Författare :Jakub Kacperczyk; Moritz Kornherr; [2023]
   Nyckelord :Inflation hedging; Inflation risk premium; Inflation forecasting; Bond-Stock Correlation;

   Sammanfattning : The recent surge in inflation has reignited discussions on hedging inflation risks, forming the focal point of this study. In our paper we consider conventional asset classes from 1968 to 2023 as well as alternative assets from 2020 to 2023 and find that no asset class provides a statistically significant hedge against core inflation shocks, while commodities and currencies can hedge headline and energy inflation risk. LÄS MER

3. 7. Inflation risk revisited : The hedging properties of major asset classes

   Magister-uppsats, Karlstads universitet/Handelshögskolan (from 2013)

   Författare :Andreas Berdén; Hilding Larsson; [2023]
   Nyckelord :Inflation; unexpected inflation; inflation hedge; inflation-linked bonds; TIPS; treasury bills; stocks; bonds; real estate; gold; Inflation; oväntad inflation; inflationsskydd; inflationskopplade obligationer; statsskuldväxlar; aktier; obligationer; fastigheter; guld;

   Sammanfattning : This paper is in large parts an update to a paper by Bekaert and Wang from 2010 called Inflation risk and the inflation risk premium. Its purpose is to find insights into the inflation hedging properties of the major asset classes. LÄS MER

4. 8. Diversifying a Real Estate Portfolio Through Infrastructure Investment : An Interview Study of Opportunities and Challenges in the Nordics

   Master-uppsats, KTH/Fastighetsföretagande och finansiella system

   Författare :Carl Jussi-Pekka; Pontus Grundström; [2023]
   Nyckelord :Real Assets; Infrastructure Investments; Nordic Infrastructure; Barriers; Opportunities; Real Estate; Reala tillgångar; Infrastrukturinvesteringar; Nordisk Infrastruktur; Barriärer; Möjligheter; Fastigheter;

   Sammanfattning : Since the financial crisis infrastructure has become an increasingly attractive asset class for investors, especially among financial institutions, who recognize the value of diversification opportunities within infrastructure. In parallel with the emergence of infrastructure as an investable asset class, the global financial turbulence has generated even greater incentives for investors to diversify their portfolios with infrastructure, as the asset class exhibits characteristics to navigate in a more challenging economic environment. LÄS MER

5. 9. Modelling Risk in Real-Life Multi-Asset Portfolios

   Master-uppsats, KTH/Matematik (Avd.)

   Författare :Karin Hahn; Axel Backlund; [2023]
   Nyckelord :Risk modelling; multi-asset portfolios; risk factor models; time series analysis; regression; Riskmodellering; finansiella portföljer; riskfaktormodeller; tidsserieanalys; regression;

   Sammanfattning : We develop a risk factor model based on data from a large number of portfolios spanning multiple asset classes. The risk factors are selected based on economic theory through an analysis of the asset holdings, as well as statistical tests. LÄS MER

7. 10. Yield Curve Dynamics - Exploring Fundamental Factor Sensitivities

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

   Författare :Elvira Eriksson; Meike Wiesenfeller; [2023]
   Nyckelord :factor investing; global bonds; yield curve spread; macroeconomic fundamentals;

   Sammanfattning : Factor investing has gained popularity in recent decades, but while ample research has been conducted in asset classes such as equities and currencies, comparatively less attention has been devoted to the potential of investing in government bonds. This study explores fundamental factor sensitivities on the yield curve spread prior to and after 2018 making the last five years, that are coined by increased volatility in expected returns for government bonds, volatile growth developments, and heightened inflation, a true out-of-sample period to previous research. LÄS MER