Sökning: "Mean Reversion"

Visar resultat 11 - 15 av 58 uppsatser innehållade orden Mean Reversion.

  1. 11. Mean-Variance Portfolio Selection Accounting for Financial Bubbles: A Mean-Field Type Approach

    Master-uppsats, KTH/Matematisk statistik

    Författare :Marcus Häggbom; Shayan Nafar; [2019]
    Nyckelord :Financial bubbles; portfolio optimization; mean-variance trade-off; mean-field type optimal control; fundamental value; mean reversion; Finansiella bubblor; portföljoptimering; optimal kontroll av medelfältstyp; fundamentalt värde; medelreversion;

    Sammanfattning : The phenomenon of financial bubbles is known to have impacted various markets since the seventeenth century. Such bubbles are known to form when the market drastically overvalues the price of an asset, causing its market value to increase hyperbolically, only to suddenly collapse once the untenable perceived future prospects of the asset are realized. LÄS MER

  3. 12. Medelvärdesåtervändande egenskaper i aktiekurser : En utfallsstudie på svenska fastighetsbolag

    Kandidat-uppsats, KTH/Fastigheter och byggande

    Författare :Carl Ullström; [2019]
    Nyckelord :Mean Reversion; Real Estate; Asset prices; Fastigheter; Medelvärdesåtervändande; tillgångspriser;

    Sammanfattning : Syftet med denna rapport är att undersöka de medelvärdesåtervändande egenskaperna i aktiekursen för noterade fastighetsbolag med utgångspunkt för bolagets extraordinära substansvärde, samt hur väl information kan användas för investeringsbeslut.Resultatet av den empiriska utfallsstudien som utförts visar på att det finns ett samband mellan aktiekurs och substansvärden, samt att en investeringsstrategi baserat på medelvärdesåtervändande egenskaper i dessa variabler fungerar. LÄS MER

  4. 13. Implied Volatility Surface Approximation under a Two-Factor Stochastic Volatility Model

    Kandidat-uppsats, Mälardalens högskola/Akademin för utbildning, kultur och kommunikation

    Författare :Nathaniel Ahy; Mikael Sierra; [2018]
    Nyckelord :Implied Volatility; Stochastic Volatility; Implied Volatility Surfaces; European Options; Moore-Penrose Inverse; ;

    Sammanfattning : Due to recent research disproving old claims in financial mathematics such as constant volatility in option prices, new approaches have been incurred to analyze the implied volatility, namely stochastic volatility models. The use of stochastic volatility in option pricing is a relatively new and unexplored field of research with a lot of unknowns, where new answers are of great interest to anyone practicing valuation of derivative instruments such as options. LÄS MER

  5. 14. Pairs trading on the Swedish equity market; Cointegrate and Capitalize

    Kandidat-uppsats, Uppsala universitet/Statistiska institutionen

    Författare :Eric Qvennerstedt; William Svensson; [2018]
    Nyckelord :Cointegration; Dual class shares; Mean Reversion; Pairs Trading; Arbitrage;

    Sammanfattning : This thesis investigates the long- and short- run stability of Cointegrated dual share equity pairs on the Swedish Equity Market. Testing for a cointegrated relationship on each pair are executed for a 13 year period to establish the cointegrated pairs. The stability of each cointegrated pair is then estimated using a rolling two year period. LÄS MER

  7. 15. Multi-period portfolio optimization given a priori information on signal dynamics and transactions costs

    Master-uppsats, KTH/Optimeringslära och systemteori

    Författare :Jedra Yassir; [2018]
    Nyckelord :Multi-period portfolio optimization; portfolio selection; mean-variance optimization; return predictability; mean reverting processes; transactions costs; market impacts; stochastic optimal control.;

    Sammanfattning : Multi-period portfolio optimization (MPO) has gained a lot of interest in modern portfolio theory due to its consideration for inter-temporal trading e effects, especially market impacts and transactions costs, and for its subtle reliability on return predictability. However, because of the heavy computational demand, portfolio policies based on this approach have been sparsely explored. LÄS MER