Sökning: "Asset volatility"

Visar resultat 1 - 5 av 209 uppsatser innehållade orden Asset volatility.

1. 1. Beyond the Crisis: A Safe Haven Analysis : Empirical Insights into the Divergence of Gold and Bonds for Portfolio Hedging

   Kandidat-uppsats, Umeå universitet/Företagsekonomi

   Författare :Anthony Baugi; Eugene Zhang; [2024]
   Nyckelord :Gold; Bonds; Safe Haven; Hedging; US Treasury; Volatility; Covid; Portfolio Theory; Asset Dynamics; Fiscal Policy; Monetary Policy; Financial Crisis; Asset Management; Risk Management; Portfolio Risk;

   Sammanfattning : Purpose: This thesis investigates the relationship concerning traditional safe haven assets, gold and US 10-year treasury bonds during periods of market instability, specifically during the economic concerns raised by the COVID-19 pandemic. It assesses the hedging and safe haven properties of these assets and their dynamic nature throughout two periods of unconventional monetary and fiscal policy measures by the Federal Reserve & US Congress respectively. LÄS MER

3. 2. An Attempt at Pricing Zero-Coupon Bonds under the Vasicek Model with a Mean Reverting Stochastic Volatility Factor

   Master-uppsats, KTH/Matematik (Avd.)

   Författare :Benjamin Neander; Victor Mattson; [2023]
   Nyckelord :Zero-coupon bond; Vasicek model; Two-factor interest rate model; Stochastic volatility.; Nollkupongobligation; Vasicek model; Räntemodell med två faktorer; Stokastisk volatilitet.;

   Sammanfattning : Empirical evidence indicates that the volatility in asset prices is not constant, but varies over time. However, many simple models for asset pricing rest on an assumption of constancy. LÄS MER

4. 3. The effect of covid-19 announcement on sustainable investment portfolios : Observation of the flight-to-quality phenomenon

   Magister-uppsats, Jönköping University/Internationella Handelshögskolan

   Författare :Vladislovas Urbonavicius; Iulia Chirita; [2023]
   Nyckelord :Sustainable investment portfolio; ESG; Covid-19; Flight-to-quality; Market Shock; Cryptocurrency; Proof-of-stake; proof-of-work.;

   Sammanfattning : The economic impact of the COVID-19 pandemic is still an ongoing topic, broadly analysed and discussed in many studies. Recent articles state that sustainable assets can offer return volatility resilience during demand shock events and, in some cases, provide higher returns than their unsustainable counterparts. LÄS MER

5. 4. There Is Nothing Certain But The Uncertain

   Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

   Författare :Hannes Thorstensson; Carl Tjernberg; [2023]
   Nyckelord :Uncertainty; Vol-of-vol; Ambiguity; Asset Pricing; Business and Economics;

   Sammanfattning : Risk and risk aversion are crucial concepts in finance. Models in finance typically assume a known probability distribution of returns, which does often not hold in reality. This papers aims to measure the uncertainty surrounding the probability distribution in equity markets and to evaluate if such uncertainty is priced. LÄS MER

7. 5. Risk Management and Sustainability - A Study of Risk and Return in Portfolios With Different Levels of Sustainability

   Master-uppsats, KTH/Matematik (Avd.)

   Författare :Magnus Borg; Lucas Ternqvist; [2023]
   Nyckelord :ESG; Value-at-Risk VaR ; Expected Shortfall ES ; Risk Management; Financial Risk; Financial Mathematics; Sustainability; Portfolio Management; Capital Asset Pricing Model CAPM ; Hållbarhet; Value-at-Risk VaR ; Expected Shortfall ES ; Riskhantering; Finansiell Risk; Finansiell Matematik; Portföljkonstruktion;

   Sammanfattning : This thesis examines the risk profile of Electronically Traded Funds and the dependence of the ESG rating on risk. 527 ETFs with exposure globally were analyzed. Risk measures considered were Value-at-Risk and Expected Shortfall, while some other metrics of risk was used, such as the volatility, maximum drawdown, tail dependece, and copulas. LÄS MER