Sökning: "Back-testing"

Visar resultat 1 - 5 av 24 uppsatser innehållade ordet Back-testing.

1. 1. Dispersion Trading: A Way to Hedge Vega Risk in Index Options

   Master-uppsats, KTH/Matematik (Avd.)

   Författare :Albin Irell Fridlund; Johanna Heberlein; [2023]
   Nyckelord :Dispersion Trading; Volatility Trading; Volatility Hedging; Vega Hedging; Option Trading; Back-testing; Liquidity provider; OMXS30 options; Index options; Spridningshandel; Volitilitetshandel; Volitilitetssäkring; Vega säkring; Optionshandel; Back-testing; Likviditetgivare; OMXS30 optioner; Index optioner;

   Sammanfattning : Since the introduction of derivatives to the financial markets, volatility trading has emerged as a method for investors to make money in every market condition. In parallel with introducing derivatives to the financial markets, hedging methods have emerged and are today essential instruments for the liquidity providers active in the markets. LÄS MER

3. 2. Stokastisk modellering och prognosticering inom livförsäkring : En dödlighetsundersökning på Länsförsäkringar Livs bestånd

   Master-uppsats, Linköpings universitet/Tillämpad matematik; Linköpings universitet/Tekniska fakulteten

   Författare :Henrik Andersson; Robin Bakke Cato; [2023]
   Nyckelord :Mortality Lee-Carter Makeham Gompertz Hull-White Short-rate Model Feller; Dödlighet dödlighetsundersökning Lee-Carter korträntemodeller Hull-White Makeham dödlighetsintensitet DUS Svensk Försäkring Feller;

   Sammanfattning : Studier av livslängder och dödssannolikheter är avgörande för livförsäkring. Betalningar gällande livförsäkringar är helt beroende av om en individ lever eller ej, eller befinner sig i olika hälsotillstånd. LÄS MER

4. 3. Robo-Advisor portfolioperformance : Studying the effects of building an efficientportfolio from Value at Risk, ExpectedShortfall and Mean-Variance optimization

   Magister-uppsats, Blekinge Tekniska Högskola/Institutionen för industriell ekonomi

   Författare :Tobias Brännvall; Stella El Masry; [2022]
   Nyckelord :Fintech; Robo-advisory; Innovation;

   Sammanfattning : In this research we conduct an in-depth examination of the several financial theories as well asevaluating different implementations of a hypothetical Robo-advisor and the correspondingperformance under market stress (COVID-19). Thus, we contribute a view on Robo-advisors’ benefitsand limitations, providing a foundation for better understanding its potential. LÄS MER

5. 4. Kan Magic Formula generera Alpha på den Svenska aktiemarknaden efter kontroll för marknadsrisk, företagsstorlek och värdefaktor?

   Kandidat-uppsats, Uppsala universitet/Nationalekonomiska institutionen

   Författare :Fredrik Widz; [2021]
   Nyckelord :Magic Formula; Anomalier; Faktorinvesteringar; Joel Greenblatt; Effektiva Marknadshypotesen; Kvantitativt investerande;

   Sammanfattning : This study intends to investigate the use of Joel Greenblatts investing strategy “Magic Formula” on the Swedish stock market for the 10-year period of last of March 2009 to last of March 2019-- a period characterized as a raging bull-market, mainly driven forward by historically low interest rates. This is done by the utilization of back testing, later comparing the returns with a benchmark(OMXSGI) as well as determining if the return can be aptly explained by the asset pricing models CAPM and Fama-French 3 factor with the use of regression analysis. LÄS MER

7. 5. A study incorporating skewness in Expected Shortfall Estimation

   Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

   Författare :Sreeja Madhavi Prajeesh; [2021]
   Nyckelord :Value at Risk; Expected shortfall; normal distribution; student t-distribution; skewed student t-distribution.; Business and Economics;

   Sammanfattning : Expected Shortfall has become a prominent risk measure after the global financial crisis which hit the economy in 2007. This master thesis examines whether Expected Shortfall (ES) estimation gives better estimates when we incorporate skewness and the impact during turbulent versus tranquil period. LÄS MER