Sökning: "Volatility Timing"
Visar resultat 1 - 5 av 13 uppsatser innehållade orden Volatility Timing.
1. Volatility Timing using Machine Learning - An Application to a Signal Based Portfolio
Magister-uppsats, Lunds universitet/Nationalekonomiska institutionenSammanfattning : Recent events such as the covid-19 pandemic and the Russian-Ukrainian war have led to a tremendous increase in volatility, making financial markets riskier for investors. To see whether investors can counteract or profit from such risk, we develop a volatility timed trading strategy. LÄS MER
2. Improving Planning Stability : A case study of Planning at AstraZeneca
Master-uppsats, Linköpings universitet/ProduktionsekonomiSammanfattning : To provide high service level, an organisation must maintain flexibility in production planning. This allows them to react to changes in demand and supply information. Changes in production plan decreases planning stability. Low stability has knock on effect on supply of material. LÄS MER
3. ENHANCING MOMENTUM PROFITS THROUGH VOLATILITY TIMING AND COST MITIGATION TECHNIQUES
Master-uppsats, Göteborgs universitet/Graduate SchoolSammanfattning : Despite the high expected returns of the momentum strategy, there are two main problems associated with it: (i) infrequent but severe losses known as momentum crashes, and (ii) high transaction costs. In this paper, we address the first problem with volatility timing strategies developed by Daniel and Moskowitz (2016) and Moreira and Muir (2017). LÄS MER
4. An Empirical Evaluation of Improved Volatility-Based Trading Strategies
D-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiSammanfattning : In 2017, Moreira and Muir published their paper "Volatility-Managed Portfolios", showing that investors can beat the market, purely by choosing their risk exposure based on the inverse of last month's realized variance. While their results are influential in nature, suggesting, against common belief, investors should take less risk in recessions, they singularly rely on realized variance as a risk measure and a fixed monthly rebalancing period. LÄS MER
5. International Volatility-Managed Equity Factors
D-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiSammanfattning : Recent studies show that volatility timing works well across a number of different US asset pricing factors and for 20 developed market indices. Our study expands the literature by testing the same strategy across seven equity factors on an aggregate international level as well as for five equity factors on a country level in 24 developed markets. LÄS MER