Sökning: "Volatility Managing Strategy"

Hittade 5 uppsatser innehållade orden Volatility Managing Strategy.

1. 1. Powering up profits - Integrating Power Purchase Agreements and Battery Systems for Nordic Power Futures

   Master-uppsats, Lunds universitet/Institutionen för energivetenskaper

   Författare :William Thorwaldson; Ellen Jinglöv; [2023]
   Nyckelord :Power Purchase Agreements; Financial Power Trading; Battery Energy Storage Systems; Power Futures; Technology and Engineering;

   Sammanfattning : This master’s thesis aims to assess the profitability and the factors impacting the profitability of entering a short position in financial derivative contracts on the Nordic power market while procuring electricity through a pay-as-produced power purchase contract and on the day-ahead (DA) market, simultaneously the strategy utilizes a battery storage system to mitigate the effects of price spikes. The research adopted a mixed-method approach by combining quantitative analysis with qualitative findings. LÄS MER

3. 2. Skillnader i kvinnor och mäns investeringsbeteende : Svenska aktieinvesterares psykologiska bias, aktiepreferenser och dess långsiktiga konsekvenser

   Master-uppsats, Linköpings universitet/Nationalekonomi; Linköpings universitet/Filosofiska fakulteten; Linköpings universitet/Företagsekonomi

   Författare :Charlotta Kortered; Ida Tillas; [2022]
   Nyckelord :Investment behavior; women and men; stock preferences; Modern portfolio theory; behavioral economics; Sweden; bias; risk exposure; Investeringsbeteende; kvinnor och män; aktiepreferenser; moderna portföljvalsteorin; beteendeekonomi; Sverige; bias; riskexponering;

   Sammanfattning : The purpose of this thesis is to analyze differences between stock preferences of women and men in Sweden and analyze what portfolio characteristics and long-term effects that are revealed by investing in the stocks than men and women prefer. To fulfill the purpose of the thesis, two fictious portfolios have been created which are based on data from the reports “Aktieägandet i Sverige” by Euroclear. LÄS MER

4. 3. Residual Momentum and Volatility – Managed Portfolios : A Study on the Swedish Equity Market

   Master-uppsats, KTH/Fastighetsföretagande och finansiella system

   Författare :Erik Huss; Mario Ishak; [2022]
   Nyckelord :Residual Momentum; Volatility Management; Asset Pricing; Volatility Scaling; Momentum; Transaction Costs; Idiosynkratiskt Momentum; Riskstrategier; Tillgångsprissättning; Momentum; Transaktionskostnader;

   Sammanfattning : In this paper, we present empirical results from the Swedish equity market when testingdifferent strategies aiming at enhancing the performance of a momentum strategy, over a timeperiod from 2000 to 2021. Similar to research conducted on other markets, we find theexistence of a momentum premium on the Swedish equity market, but with a return that is fattailed and negatively skewed. LÄS MER

5. 4. Volatility Managing Strategy - A Strategy for Mitigating Risk and Stabilizing Risk-adjusted Return

   Master-uppsats, KTH/Matematisk statistik

   Författare :Sara Barwary; Hanna Lind; [2021]
   Nyckelord :ARCH; EGARCH; GARCH; GJR-GARCH; Return; Risk; Volatility; Volatility Managing Strategy; ARCH; EGARCH; GARCH; GJR-GARCH; Avkastning; Risk; Volatilitet; Volatilitetshanterande strategi;

   Sammanfattning : Volatility managing strategies have gained attention over the last few years due to theiralleged ability to increase portfolio return and mitigate risk. This thesis examines the performance and risk of a portfolio using such a strategy on the Swedish equity market. The strategy is dependent on the forecasting of volatility. LÄS MER

7. 5. Relationship between Currency Carry Trades and Gold Returns : A quantitative study of G-10 currencies: correlation and spillover effects for the last two decades.

   Master-uppsats, Umeå universitet/Företagsekonomi

   Författare :Johannes Hornbrinck; Jonas Olausson; [2014]
   Nyckelord :Gold; Currency Carry Trades; Carry Trades; Portfolio choice; Sweden; Gold Hege; Gold diversifier; Gold safe-haven; UIP; Relationship;

   Sammanfattning : Currency carry trade is an investment strategy that recently started gaining a lot of interest not only among investors and financial institutions but also academically. One of the underlying theoretical assumptions regarding the mechanisms of the foreign exchange market, the Uncovered Interest Parity has frequently been disproved in practice which has led to the conclusion that carry trade is profitable in practice. LÄS MER