Sökning: "Volatility Scaling"

Visar resultat 1 - 5 av 9 uppsatser innehållade orden Volatility Scaling.

  1. 1. 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

  3. 2. Pricing collateralized loan obligation tranches using machine learning : Machine learning applied to financial data

    Master-uppsats, KTH/Skolan för elektroteknik och datavetenskap (EECS)

    Författare :Marcus Enström; [2022]
    Nyckelord :Collateralized loan obligation; Machine learning; Artificial neural networks; Financial data; Ensemble methods; Collateralized loan obligation; Maskininlärning; Artificiella neurala nätverk; Finansiell data; Ensemblemetoder;

    Sammanfattning : Machine learning and neural networks have recently become very popular in a large category of domains, partly thanks to their ability to solve complex problems by finding patterns in data, but also due to an increase in computing power and data availability. Successful applications of machine learning include for example image classification, natural language processing, and product recommendation. LÄS MER

  4. 3. Enhanced Risk-Adjusted Returns Through Momentum Adaptations - Analysis on Momentum Strategies in the Nordic Stock Market

    Master-uppsats, Göteborgs universitet/Graduate School

    Författare :Felix Nilsson; Bastiaan Picone; [2021-06-30]
    Nyckelord :Momentum Strategies; Momentum; Price Momentum; Idiosyncratic Momentum; Alpha Momentum; Momentum Adaptations; Constant-Volatility Scaling; Momentum Crash; Nordic Momentum; Volatility; Anomaly; Stock Returns;

    Sammanfattning : Momentum strategies where one buys past winners and sells past losers are one of the most persistent stock market anomalies, showcasing abnormal returns across different markets, asset classes and time periods. Nevertheless, price momentum has been shown by the financial literature to possess considerable hazards, such as high volatility and crash risks. LÄS MER

  5. 4. Implementation of water electrolysis in Växjö´s combined heat and power plant and the use of excess heat : A techno-economic analysis

    Magister-uppsats, Linnéuniversitetet/Institutionen för byggd miljö och energiteknik (BET)

    Författare :Florian von Hepperger; [2021]
    Nyckelord :CHP plant; Electrolysis; Hydrogen production; Excess heat; Renewable energy; Price volatility;

    Sammanfattning : Renewable energies are fluctuating and the bigger its share on the Swedish energy market, the more fluctuating are the prices. Therefore, CHP plant operators as VEAB in Växjö, are more and more struggling to be competitive. LÄS MER

  7. 5. HfO2 and ITO Resistive Random-Access Memory

    Master-uppsats, Lunds universitet/Synkrotronljusfysik; Lunds universitet/Fysiska institutionen

    Författare :Mattias Åstrand; [2020]
    Nyckelord :RRAM; Resistive switching; HfO2; ITO; Physics and Astronomy;

    Sammanfattning : The purpose of this work is of evaluating the choice of HfO2 and ITO as the dielectric and the top electrode in high performance resistive random-access memory (RRAM), respectively. The study is twofold, as it quantifies performance according to standard figures of merit for this technology, as well as provides insight into the physics of current conduction for this material choice. LÄS MER