Sökning: "Mean Reversion"

Visar resultat 6 - 10 av 58 uppsatser innehållade orden Mean Reversion.

  1. 6. Mechanical investing, man’s best friend or Foolish? : -A study on mechanical investment strategies on the Swedish stock market

    Kandidat-uppsats, Linnéuniversitetet/Institutionen för ekonomistyrning och logistik (ELO)

    Författare :Max Lundberg; Jakob Åkerlund; [2021]
    Nyckelord :Mechanical investing; EMH; Modern portfolio theory; Dogs of the Dow; the Foolish Four; Mean reversion; OMXS30; Contrarianism; The penultimate profit prospect; Stock market.;

    Sammanfattning : The aim of this study is to examine classical Dow-strategies, Dogs of the Dow and Foolish Four relative to each other and OMXS30GI in order to test if promises of substantial returns would be kept on the Swedish stock market during the period 2002-2019. Our empirical findings show no statistically significant excess-return generated by the Foolish Four-strategy over neither the Dogs of the Dow-strategy nor OMXS30GI. LÄS MER

  3. 7. Closed-End Funds and their Net Asset Value over time : A study of the relationship between Swedish closed-end funds' market prices and their underlying assets over a period of time.

    Kandidat-uppsats, Jönköping University/IHH, Nationalekonomi

    Författare :Erik Cederberg; Linus Schnitzer; [2020]
    Nyckelord :Closed-end fund; Net Asset Value; Mean Reversion; Closed-end fund discount; Stock market; Investment strategy; Cointegration; Error Correction;

    Sammanfattning : Closed-end funds (CEFs) are popular investments amongst the Swedish population as they provide diversification to investors and have in many cases historically outperformed the market. In deciding whether to invest in a CEF, the method of valuation differs from classical financial ratios used to value most companies, as the revenue-bringing operations differ significantly. LÄS MER

  4. 8. Black Swan Investments : How to manage your investments when the market is in distress

    Kandidat-uppsats, Linnéuniversitetet/Institutionen för ekonomistyrning och logistik (ELO)

    Författare :William Knutsson; David Ekeroth; [2020]
    Nyckelord :Black Swans; mean reversion; beta; investment strategy; volatility; CAPM; Sharpe ratio; DJIA;

    Sammanfattning : This study examines how investors can take advantage of Black Swan events by applying an investment strategy that involves investing in stocks that have performed badly during Black Swan events. The stocks are chosen from and compared to the Dow Jones Industrial Average Index. LÄS MER

  5. 9. Asymptotic results for American option prices under extended Heston model

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

    Författare :Veronica Teri; [2019]
    Nyckelord :American options; Stochastic Volatility; Extended Heston model; Fast mean–reversion volatility; Asymptotic expansion; Average Volatility;

    Sammanfattning : In this thesis, we consider the pricing problem of an American put option. We introduce a new market model for the evolution of the underlying asset price. Our model adds a new parameter to the well known Heston model. Hence we name our model the extended Heston model. LÄS MER

  7. 10. Interest rate modelling

    Master-uppsats, Lunds universitet/Matematisk statistik

    Författare :Khalil el Adi; [2019]
    Nyckelord :Mathematics and Statistics;

    Sammanfattning : Many models have been developed throughout the years to describe the evolution of short term rates. One of the famous models is the Vasicek model. It was first introduced in 1977 and describes interest rates as a mean reversion process which is a specific characteristic that sets it apart from other financial assets. LÄS MER