Sökning: "Sam Bigdeli"

Hittade 2 uppsatser innehållade orden Sam Bigdeli.

  1. 1. Portfolio Optimization : A DCC-GARCH forecast with implied volatility

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

    Författare :Sam Bigdeli; Filip Bengtsson; [2019]
    Nyckelord :DCC-GARCH; Portfolio Optimization; Certainty Equivalence Tangency; CET; Global Minimum Variance; GMV; Minimum Conditional Value-at-Risk; MinCVaR; Implied volatility index; VIX;

    Sammanfattning : This thesis performs portfolio optimization using three allocation methods, Certainty Equivalence Tangency (CET), Global Minimum Variance (GMV) and Minimum Conditional Value-at-Risk (MinCVaR). We estimate expected returns and covariance matrices based on 7 stock market indices with a DCC-GARCH model including an ARMA (1. LÄS MER

  2. 2. Oil exposure, hedging and firm value : A quantitative study on the U.S. airline industry

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

    Författare :Sam Bigdeli; Petra Marcusson; [2018]
    Nyckelord :Finance; hedging; jet fuel; oil exposure; airline industry;

    Sammanfattning : This thesis examines the impact of oil price fluctuations and jet fuel hedging on firm value before, during and after the subprime crisis. Four regressions are estimated with two different variables representing firm value; market return and market valuation. LÄS MER