Sökning: "hedge"

Visar resultat 6 - 10 av 365 uppsatser innehållade ordet hedge.

1. 6. A valuation of Swedish hedge fund performance

   Kandidat-uppsats, Göteborgs universitet/Institutionen för nationalekonomi med statistik

   Författare :Elis Grönqvist; Johan Wennerström; [2023-02-09]
   Nyckelord :;

   Sammanfattning : In this thesis we present annual returns of Swedish hedge funds sorted by investment strategies and investigate which strategy performs best and how the Fama-French factors: market premium, value premium and growth premium affect these returns. The Fama-French three-factor model is built on the Capital Asset Pricing Model which tries to describe the relationship between the expected return of an asset and the risk of the asset compared to the market. LÄS MER

3. 7. Exchange Rate and Equity Market Dependence under Shifts in Volatility Expectations

   Master-uppsats, Lunds universitet/Matematisk statistik

   Författare :Vilhelm Samuelsson; [2023]
   Nyckelord :Exchange rates; Equity markets; Volatility; ARMA-GARCH; Copula; Exchange rate determination; Safe-haven; Portfolio rebalancing; Return chasing; Mathematics and Statistics;

   Sammanfattning : Exchange rate movements have important implications for both policy makers and investors, as they can have large effects on the real economy and the return on investments. Lately, their relation to capital flows have attracted growing interest due to the failure of macroeconomic fundamentals to explain them. LÄS MER

4. 8. 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 statistik

   Författare :Oskar Fransson; [2023]
   Nyckelord :Probability theory; Statistical inference; finance; CTA; managed futures; machine learning; statistical learning; stochastic process; sparse logistic regression; Markov Chain Monte Carlo; Hidden Markov model;

   Sammanfattning : 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

5. 9. 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)

   Författare :Ahmed Ali; [2023]
   Nyckelord :Electricity arbitrage trading; intraday electricity market; energy storage system; demand-side load management; single-family homes; Nord Pool; building performance simulation IDA Indoor Climate and Energy ; financial modelling.;

   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

7. 10. Company Characteristics and Investments Related to ESG Ratings - Does Ownership Have an Impact?

   C-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Författare :Elias Schedvin; Simon Kvist; [2023]
   Nyckelord :ESG Rating; Ownership concentration; Investor Preferences; SRI; Investor Characteristics;

   Sammanfattning : This paper examines the relationship between ownership structure and ESG ranking. Data from companies is used to analyze which types of investors invest in companies with high ESG rankings. LÄS MER