Sökning: "Market Neutral Strategy"

Visar resultat 16 - 20 av 35 uppsatser innehållade orden Market Neutral Strategy.

  1. 16. Pairs Trading in Swedish Investment Companies

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Pascal Dettwiler; Edvin Larsson; [2019]
    Nyckelord :Pairs trading; Investment Company; Traded at Discount; Bollinger Bands; Moving Average; Trading Strategy; Algorithmic Trading; Algo trading; Business and Economics;

    Sammanfattning : The purpose of this paper is to examine if it is possible to profitably implement a market neutral trading strategy, so-called "pairs trading", on three different Swedish investment companies. It can be concluded that applying a pairs trading strategy on [these three] Swedish investment companies and their underlying listed assets has the potential to beat the market Sharpe ratio. LÄS MER

  3. 17. Evaluating the Viability of Merger Arbitrage in Nordic Equities

    Kandidat-uppsats, Uppsala universitet/Nationalekonomiska institutionen

    Författare :Victor Hansen; Erik Lindholm-Röjestål; [2019]
    Nyckelord :Merger arbitrage; Nordic equity market; Mergers Acquisitions; Risk arbitrage; Cash mergers;

    Sammanfattning : This thesis aims to examine whether a merger arbitrage strategy is able to generate market neutral alpha in the Nordic region. Similar studies of merger arbitrage strategies in both the US and Australian market find market neutral alpha. LÄS MER

  4. 18. Finansiell riskhantering hos svenska mjölk- och växtodlingsföretag : identifiering av de avgörande faktorerna för att hantera finansiell risk på en fluktuerande marknad

    Kandidat-uppsats, SLU/Dept. of People and Society

    Författare :Linnea Gustafsson; [2018]
    Nyckelord :finansiell risk; riskhantering; riskhanteringsprocess; lantbruk; vinst; kassaflöde; marknadskris; management; financial risk; management process; agricultural; profit; cash flow; market crisis;

    Sammanfattning : Ett varierat avräkningspris ställer högre krav på dels hur lantbruksföretaget lyckas att behålla lönsamhet och dels företagets förmåga att anpassa sig efter dessa svängningar. Studien omfattar en teoretisk referensram, vilken redogör för finansiell risk, managementmetoder, riskhanteringsprocess och den förväntade nyttoteorin. LÄS MER

  5. 19. Statistical Arbitrage Using Cross-Market Pairs Trading

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

    Författare :Erik Boltenstål; [2018]
    Nyckelord :Statistical Arbitrage; Cointegration; Kalman Filter; Pairs Trading;

    Sammanfattning : Pairs trading is a statistical arbitrage strategy that offers appealing properties for the sophisticated investor. The concept relies on the creation of a mean-reverting spread between two assets, where there is assumed to exist a long-term equilibrium relationship. LÄS MER

  7. 20. Portfolio construction based on value and momentum: a winning strategy?

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Andreas Grann; [2017]
    Nyckelord :Value; momentum; portfolios; stocks; Business and Economics;

    Sammanfattning : This study examines if there are positive effects of constructing portfolios based on value and momentum. Three value portfolios (low, medium, high) and three momentum portfolios are constructed using large cap stocks from the four Nordic Nasdaq OMX exchanges. The portfolios are then re-sorted on an annual basis over the test period 2005-2016. LÄS MER