Sökning: "Risk Premia"

Visar resultat 21 - 25 av 36 uppsatser innehållade orden Risk Premia.

  1. 21. Growth Opportunities, Investment Propensity and Currency Risk Premia

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

    Författare :Martin Welz; [2014]
    Nyckelord :Carry trade; Capital inflows; Currency risk premia; Growth opportunities;

    Sammanfattning : Recent studies have found a link between exchange rate returns and macroeconomic imbalances. However, focusing mainly on standard fundamentals might not identify the true drivers of an economy's future repayment ability and therefore currency risk. LÄS MER

  3. 22. Empirical Risk Decomposition of Break-even Inflation

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

    Författare :Jonas Gustavsson; Patrik Paluch; [2014]
    Nyckelord :TIPS; Break-even inflation; Term structure; Liquidity; Inflation;

    Sammanfattning : Using principal component analysis, we find that there are three principal components that can explain almost all of the variation in the 5-20 year maturities of break-even inflation, defined as the spread between nominal Treasury and TIPS yields. The three principal components correspond to the factors regularly used in the empirical literature to describe the term structure of interest rates, namely, level, slope and curvature. LÄS MER

  4. 23. Allocation Methods for Alternative Risk Premia Strategies

    Master-uppsats, KTH/Matematisk statistik

    Författare :Daniel Drugge; [2014]
    Nyckelord :;

    Sammanfattning : We use regime switching and regression tree methods to evaluate performance in the risk premia strategies provided by Deutsche Bank and constructed from U.S. research data from the Fama French library. The regime switching method uses the Baum-Welch algorithm at its core and splits return data into a normal and a turbulent regime. LÄS MER

  5. 24. Riskpremier på den nordiska elmarknaden : En explorativ studie av riskpremien för Electricity Price Area Differentials (EPADs)

    Kandidat-uppsats, Södertörns högskola/Institutionen för samhällsvetenskaper

    Författare :Ricard Enquist; Michael Pentakota; [2014]
    Nyckelord :Risk premium; EPAD; CfD; Financial electricity markets; Nord Pool; OMX Commodities II; Riskpremier; EPAD; CfD; Finansiell elhandel; Nord Pool; OMX Commodities;

    Sammanfattning : Uppsatsens explorativa syfte är att utforska samt beskriva riskpremiens storlek och utveckling för de EPADs som handlas för olika elprisområden på den nordiska elmarknaden. Riskpremien har definierats enligt de prissättningsteorier som ursprungligen formulerats av Fama & French (1987) och beräknats ur ett ex post-perspektiv. LÄS MER

  7. 25. A Framework For Analysing Investable Risk Premia Strategies

    Master-uppsats, KTH/Industriell ekonomi och organisation (Inst.)

    Författare :Joakim Sandqvist; Erik Byström; [2014]
    Nyckelord :Risk premia; cluster tree; spanning tree; principal component analysis; macroeconomics; Riskpremier; cluster tree; spanning tree; principal component analysis; makroekonomi;

    Sammanfattning : The focus of this study is to map, classify and analyse how different risk premia strategies that are fully implementable, perform and are affected by different economic environments. The results are of interest for practitioners who currently invest in or are thinking about investing in risk premia strategies. LÄS MER