Sökning: "Regression-based hedge"
Hittade 3 uppsatser innehållade orden Regression-based hedge.
1. A quantitative analysis of Nordic hedge fund performance during changing market conditions
Magister-uppsats, Lunds universitet/Nationalekonomiska institutionenSammanfattning : In this paper we investigate the performance of Nordic hedge funds in terms of their ability to earn abnormal returns during the period 2003-2011. We further test for the presence of short-term persistence during the period of disturbed market conditions. LÄS MER
2. Hedging Effectiveness of Index Options in Sweden
D-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiSammanfattning : We test hedging performance of five different hedging techniques of the OMX Stockholm 30 (OMXS30) call options. Four of the hedging techniques applied are based on the Black-Scholes-Merton (BSM) model and the fifth is a regression-based model that adjusts the original BSM Greeks. LÄS MER
3. Dynamic Hedge Rations on Currency Futures
Master-uppsats, Göteborgs universitet/Graduate SchoolSammanfattning : In the globalized economy many businesses are exposed to the foreign exchange risk in their daily trading activities. Exchange traded futures contracts are one of the instruments that are designed specifically to hedge such risk. LÄS MER