Sökning: "naive hedge"

Hittade 5 uppsatser innehållade orden naive hedge.

  1. 1. Prishedge av svenska bostäder : Är det effektivt och vilka hinder för en marknad?

    Master-uppsats, Linköpings universitet/Nationalekonomi

    Författare :Oskar Blad; Robin Ferin; [2018]
    Nyckelord :hedging housing price; hedge; hedging effectiveness; hedge ratio; market for housing price derivatives; house price derivatives; house price risk; transaction costs; OLS; ECM; naive hedge; bostadsprishedge; hedge; hedgingeffektivitet; hedge ratio; marknad för bostadsprisderivat; bostadsprisderivat; transaktionskostnader; bostadsspecifik risk; OLS; ECM; naiv hedge;

    Sammanfattning : Denna uppsats undersöker hur effektivt det vore att hedga svenska bostadspriser under tidsperioden 2005–2017 med hjälp av ett bostadsprisindex. Uppsatsen undersöker ickeperiodiserade och periodiserade hedgar genom tre olika hedgingstrategier i form av statisk, dynamisk och optimal hedge. LÄS MER

  3. 2. Evaluating Private Equity Returns from the Investor Perspective - are Limited Partners Getting Carried Away?

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

    Författare :Julia Hederstierna; Richard Sabrie; [2017]
    Nyckelord :Private Equity; Performance; PME; Public Markets; Direct Alpha;

    Sammanfattning : In this study, we evaluate the performance of close to 900 buyout and venture capital funds from 1979 to 2008. Returns are measured using traditional performance measures, the internal rate of return and the investment multiple, as well as four different Public Market Equivalent measures, which compares private equity fund returns to the returns of corresponding investments in a publicly traded index. LÄS MER

  4. 3. Estimation of Time-Varying Hedge Ratios for Coffee

    Magister-uppsats, Lunds universitet/Företagsekonomiska institutionen

    Författare :Alejandro Esteban Lombana Betancourt; Lena Al Azzawi; [2013]
    Nyckelord :Hedge ratio; basis risk; GARCH; BEKK; VECH; futures contracts; coffee; Business and Economics;

    Sammanfattning : This paper will gain better insights of how to calculate the hedge ratio to reduce the basis risk and protect against the price volatility, which is caused by the mismatch between the spot and future prices. This will be done by calculating the time-varying hedge ratio for the Colombian mild Arabica coffee, using two BGARCH models, the diagonal BEKK and diagonal VECH. LÄS MER

  5. 4. Dynamic Hedge Rations on Currency Futures

    Master-uppsats, Göteborgs universitet/Graduate School

    Författare :Bartosz Czekierda; Wei Zhang; [2010-06-16]
    Nyckelord :;

    Sammanfattning : In the globalized economy many businesses are exposed to the foreign exchange risk in their daily trading activities. Exchange traded futures contracts are one of the instruments that are designed specifically to hedge such risk. LÄS MER

  7. 5. Hedgefonder : Hur kan dess risker och möjligheter förmedlas

    Kandidat-uppsats, Företagsekonomiska institutionen

    Författare :Maria Caneman; Dan Enstedt; Johan Degala; [2006]
    Nyckelord :;

    Sammanfattning : We have in this essay studied the Swedish Hedge Fund Market available for the average Swedish private investor. We have closely looked at the risk measurements that are applicable on the evaluation of Hedge Funds today, and furthermore studied how they are communicated and what they actually contribute with in terms of risk and yield. LÄS MER