Sökning: "Mean-Variance Spanning"

Hittade 4 uppsatser innehållade orden Mean-Variance Spanning.

  1. 1. Personalized Investment Recommendations Using Recommendation Systems

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Lorik Sadriu; [2023]
    Nyckelord :Recommendation systems; Deep learning; Institutional investors; Investment decision-making; Mean-variance spanning test; Cross-Selling; Business and Economics;

    Sammanfattning : This paper presents a Deep Learning-based Hybrid Recommendation System (DLHR) designed specifically for institutional investors with public portfolio holdings on the Stockholm Stock Exchange. The objective is to provide personalized investment recommendations, complement existing portfolios, and explore untapped cross-selling opportunities. LÄS MER

  3. 2. Hedging and Diversification Benefits of Cryptocurrencies: A study of a novel asset class

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

    Författare :Andreas Karlsson; William Hahne; [2021]
    Nyckelord :Diversification; Hedging; Cryptocurrencies; Bitcoin; Spanning;

    Sammanfattning : The purpose of this study is to conduct an examination into the hedging capabilities and diversification benefits of cryptocurrencies with the aim to add to a very limited set of existing literature. The objective is to investigate whether or not the role of cryptocurrencies in financial markets pertain to hedging and improving risk-adjusted returns. LÄS MER

  4. 3. VIX ETPs as Portfolio Diversifiers

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

    Författare :Nils Hartung von Hartungen; Michael Katzdobler; [2017]
    Nyckelord :VIX; ETPs; Mean-Variance Spanning; Mean-Variance Criterion; Multi-Objective Portfolio Selection;

    Sammanfattning : This paper studies whether the popularity of VIX ETPs can be explained by their suitability as portfolio diversifiers for retail investors having access to a typical set of ETFs. We first carry out an analysis from the perspective of investors with a quadratic utility function by employing the mean-variance spanning test and the mean-variance criterion. LÄS MER

  5. 4. 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