Sökning: "Risk Premia"
Visar resultat 1 - 5 av 36 uppsatser innehållade orden Risk Premia.
1. An Introduction to Premium Setting of Life Insurance Annuities
L3-uppsats, Stockholms universitet/Matematiska institutionenSammanfattning : This paper aims to introduce the reader to the premium setting of annuities within life insurance. This is done using a hypothetical annuity contract offered to 36-year-olds in Sweden. The contract provides an annual pension from age 65 until either the individual's death or age 90, after which payouts cease. LÄS MER
2. Empirical investigation on the performance of a feed-forward artificial neural network on the Nordic stock markets
Master-uppsats, Göteborgs universitet/Graduate SchoolSammanfattning : In this paper, the authors have made an empirical investigation on the performance of a feed-forward artificial neural network (ANN) on the four main Nordic stock markets, Sweden, Norway, Denmark, and Finland. First, a benchmark OLS regression model is compared against an ANN model to see which model performs best in terms of predictive accuracy and has the least amount of error. LÄS MER
3. Frog in the Factor Pan: Continuous information in factor momentum
D-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiSammanfattning : Since stock momentum stems from momentum within common risk factors, as shown through recent studies, we test whether Da et al. (2014)'s frog-in-the-pan hypothesis of limited attention is able to explain the persistence of the momentum within factor risk premia. LÄS MER
4. Principal Component Analysis and the Cross-Sectional Variation of Returns
Kandidat-uppsats,Sammanfattning : We utilize Principal Component Analysis (PCA), a dimensionality reduction technique, on a set of 142 risk factors, including macroeconomic factors, proposed in financial literature to construct factor models with high explanatory powers when analysing the cross-sectional variation of portfolio returns. We apply a Fama and Macbeth (1973) two-pass regression to estimate risk premia commanded by our principal components. LÄS MER
5. Illiquidity and Its Threats - A Study of the U.S. Corporate Bond Market
Master-uppsats, Lunds universitet/Matematisk statistikSammanfattning : In recent times of market turmoil, liquidity risk has become a big talking point. As certain Swedish fixed income funds, which were advertised as safe investment options, closed for a few trading days in March of 2020 due to the extremely high stress on the market, questions about how illiquidity a↵ects risk and return were asked. LÄS MER