Sökning: "Average Volatility"

Visar resultat 1 - 5 av 131 uppsatser innehållade orden Average Volatility.

1. 1. Biobased iron pellet production : Assessment of the availability and sustainability of biomass as fuel for iron ore pellet production in LKAB

   Master-uppsats, Mittuniversitetet/Institutionen för naturvetenskap, design och hållbar utveckling (2023-)

   Författare :Magnus Kemi; [2023]
   Nyckelord :bio-energy; biomass; coal; greenhouse gas emissions; industrial residues; LCA; LKAB; logging residues; iron ore; pellets; sinters; willow; sustainability;

   Sammanfattning : Iron production accounts for substantial shares of global coal use and GHG emissions. LKAB is Europe’s largest iron company and Sweden’s fourth-largest emitter of GHGs. To reduce its emissions, LKAB might implement biomass in iron ore pelletisation. LÄS MER

3. 2. 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

4. 3. 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

5. 4. 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

7. 5. Fragile Market: The impact of mutual funds on the corporate bond market

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

   Författare :Noah Tvelin; [2023]
   Nyckelord :Corporate Bonds; Mutual Funds; Fire Sale; Liquidity; Covid-19;

   Sammanfattning : This master's thesis investigates whether mutual funds can induce fire sales on the Swedish corporate bond market between August 2019 and August 2020 to determine whether mutual funds aggravated the COVID-19 crash, and if their solution to temporarily freeze withdrawals were a viable remedy. Moreover, the thesis addresses this question using a panel-data framework that includes mutual fund-specific variables, control variables suggested by previous literature, entity, and time-fixed effects, allowing the thesis to capture divergences between corporate bonds and months. LÄS MER