Sökning: "hedge effectiveness"
Visar resultat 1 - 5 av 13 uppsatser innehållade orden hedge effectiveness.
1. Predictive Modeling and Statistical Inference for CTA returns : A Hidden Markov Approach with Sparse Logistic Regression
Master-uppsats, Umeå universitet/Institutionen för matematik och matematisk statistikSammanfattning : This thesis focuses on predicting trends in Commodity Trading Advisors (CTAs), also known as trend-following hedge funds. The paper applies a Hidden Markov Model (HMM) for classifying trends. Additionally, by incorporating additional features, a regularized logistic regression model is used to enhance prediction capability. LÄS MER
2. Dynamic modelling of electricity arbitrage for single-family homes : Assessing the cost-effectiveness of implementing Energy Storage and Demand-Side Load Management.
Kandidat-uppsats, Linnéuniversitetet/Institutionen för byggd miljö och energiteknik (BET)Sammanfattning : In the context of electricity, arbitrage trading involves taking advantage of existing price variations within electricity markets. The report conducted financial modelling for energy storage systems and demand-side load management for electricity arbitrage trading in single-family homes. LÄS MER
3. Dispersion Trading: A Way to Hedge Vega Risk in Index Options
Master-uppsats, KTH/Matematik (Avd.)Sammanfattning : Since the introduction of derivatives to the financial markets, volatility trading has emerged as a method for investors to make money in every market condition. In parallel with introducing derivatives to the financial markets, hedging methods have emerged and are today essential instruments for the liquidity providers active in the markets. LÄS MER
4. Improving term structure measurements by incorporating steps in a multiple yield curve framework
Master-uppsats, Linköpings universitet/ProduktionsekonomiSammanfattning : By issuing interest rate derivative contracts, market makers such as large banks are exposed to undesired risk. There are several methods for banks to hedge themselves against this type of risk; one such method is the stochastic programming model developed by Blomvall and Hagenbjörk (2022). LÄS MER
5. Fixed Income Securities as a Hedge against Equity Market Downside
Kandidat-uppsats, Lunds universitet/Nationalekonomiska institutionenSammanfattning : Investors are constantly searching for ways to protect their wealth, ideally without losing out on long-term returns. To achieve this, some investors choose to diversify their equity portfolios with fixed income assets, believing they can protect their portfolios from drawdowns. LÄS MER