Sökning: "Dcc Nilsson"

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  1. 1. Commodity Futures Investing from a Swedish Pension Fund Perspective

    Master-uppsats, Göteborgs universitet/Graduate School

    Författare :Linn Nilsson; Tilda Wikström; [2016-10-07]
    Nyckelord :commodity futures; pension funds; AP-funds; portfolio efficiency; intersection-test; mean-variance spanning test; DCC GARCH;

    Sammanfattning : Our study examines if the Swedish General Pension funds (AP-funds) could benefit from investing in commodity futures derivatives, which they are currently prohibited from. The effect of adding commodity futures to the holdings of the AP-funds is examined during the period 2001 to 2015, with extended analyses on accumulated bull and bear periods. LÄS MER