Sökning: "portföljen"

Visar resultat 1 - 5 av 153 uppsatser innehållade ordet portföljen.

1. 1. Portfolio Strategies Under Different Inflationary Regimes

   Master-uppsats, KTH/Matematik (Avd.)

   Författare :Mohit Parkash; Diana Halladgi Naghadeh; [2023]
   Nyckelord :Inflation; Regression Analysis; Portfolio Optimization; Markowitz; Efficient Frontier; Asset Allocation; Portfolio Management; Financial Mathematics; Inflation; Regressionsanalys; Portföljoptimering; Markowitz; Effektiv Front; Tillgångsallokering; Portföljförvaltning; Finansiell Matematik;

   Sammanfattning : In 2023, the topic of ongoing inflation is being discussed almost daily as it has become inevitable. The global economy is facing significant uncertainty and downward pressure as several leading developed nations adopted expansionary fiscal policies and quantitative easing monetary policies during the pandemic. LÄS MER

3. 2. Allokering av institutionellt kapital till private equity-fonder : Beslutsprocessen och kapitalets väg från svenska institutioner till private equity-fonder

   Kandidat-uppsats, KTH/Fastighetsföretagande och finansiella system

   Författare :Gustav Löf; William Westerdahl Widlund; [2023]
   Nyckelord :Private Equity; Alternative Investments; Swedish Institutions; Behavioral Finance; Private equity; alternativa investeringar; svenska institutioner; ekonomisk beteendeteori;

   Sammanfattning : Private equity har under lång tid varit ett attraktivt alternativ vid allokering av kapital. Under de senaste fyrtio åren har tillgångsslaget fått mer fäste i Sverige. LÄS MER

4. 3. Portfolio Risk Modelling in Venture Debt

   Master-uppsats, KTH/Matematisk statistik

   Författare :John Eriksson; Jacob Holmberg; [2023]
   Nyckelord :Startup Default Probability; Venture Debt; Gaussian Copula; Value-at-Risk; Expected Shortfall; Exposure at Default; Loss Given Default; Forecast; Linear Dynamic System; ARIMA Time Series; Monte Carlo Simulation; Linear Regression; Central Limit Theorem;

   Sammanfattning : This thesis project is an experimental study on how to approach quantitative portfolio credit risk modelling in Venture Debt portfolios. Facing a lack of applicable default data from ArK and publicly available sets, as well as seeking to capture companies that fail to service debt obligations before defaulting per se, we present an approach to risk modeling based on trends in revenue. LÄS MER

5. 4. Dispersion Trading: A Way to Hedge Vega Risk in Index Options

   Master-uppsats, KTH/Matematik (Avd.)

   Författare :Albin Irell Fridlund; Johanna Heberlein; [2023]
   Nyckelord :Dispersion Trading; Volatility Trading; Volatility Hedging; Vega Hedging; Option Trading; Back-testing; Liquidity provider; OMXS30 options; Index options; Spridningshandel; Volitilitetshandel; Volitilitetssäkring; Vega säkring; Optionshandel; Back-testing; Likviditetgivare; OMXS30 optioner; Index optioner;

   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

7. 5. Multi-factor approximation : An analysis and comparison ofMichael Pykhtin's paper “Multifactor adjustment”

   Uppsats för yrkesexamina på avancerad nivå, Umeå universitet/Institutionen för matematik och matematisk statistik

   Författare :Michael Zanetti; Philip Güzel; [2023]
   Nyckelord :Credit risk; Value at Risk; Expected Shortfall; Monte Carlo simulation; Advanced Internal Rantings-Based models; Kreditrisk; Value at Risk; Expected Shortfall; Monte Carlo simulation; Advanced Internal Rantings-Based-modeller;

   Sammanfattning : The need to account for potential losses in rare events is of utmost importance for corporations operating in the financial sector. Common measurements for potential losses are Value at Risk and Expected Shortfall. These are measures of which the computation typically requires immense Monte Carlo simulations. LÄS MER