Sökning: "risk-neutral portfolio"

Visar resultat 1 - 5 av 8 uppsatser innehållade orden risk-neutral portfolio.

  1. 1. Decomposition of ETFs: Building a synthetic portfolio of ETFs major positions

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Donatas Gadlijauskas; Evelina Sarul; [2022]
    Nyckelord :ETF; Portfolio optimization; Sharpe ratio; VaR; GARCH; Business and Economics;

    Sammanfattning : This paper investigates the performance of benchmark indices and according ETFs against the synthetic portfolios that were built using the five major holdings of the selected benchmark index and its ETF. Not only do we test the synthetic portfolios, but from them, we make optimal (re-balanced) portfolios using mean-variance optimization (with short-selling constraints). LÄS MER

  3. 2. Ekonomer kontra ingenjörer på aktiemarknaden : en studie med fokus på riskpreferenser

    Kandidat-uppsats, Uppsala universitet/Företagsekonomiska institutionen

    Författare :Vanessa Barnard; Linnéa Hörberg; [2020]
    Nyckelord :Stock market; Stock market participation; Portfolio diversification; Economists; Financial literacy; Financial crisis; Engineers; Risk preference.; Aktiemarknad; Aktiemarknadsdeltagande; Diversifiering; Ekonomer; Finansiell förmåga; Finanskris; Ingenjörer; Riskpreferens.;

    Sammanfattning : År 2007 – 2008 var Finanskrisen i full kraft vilket forcerade många individer till att träda ut från aktiemarknaden. Ett hårdare finansiellt klimat och en mer komplex produktmarknad har resulterat i att alla individer inte kunnat parera marknadens hastiga förändringar och därmed invänta en framtida marknadsåterhämtning. LÄS MER

  4. 3. Alternative Methods of Estimating Investor´s Risk Appetite

    Master-uppsats, KTH/Matematisk statistik

    Författare :Felix Kuritzén; [2019]
    Nyckelord :Risk appetite; Riskaptit;

    Sammanfattning : In this thesis three risk appetite indexes are derived and measured from the beginning of 2006 to the end of the first quarter in 2019. One of the risk appetite indexes relies on annualized returns and volatilities from risky and safe assets while the others relies on subjective and risk neutral probability distributions. LÄS MER

  5. 4. Measuring the Risk-neutral Probability Distribution of Equity Index Options

    Master-uppsats, Linköpings universitet/Produktionsekonomi

    Författare :Gustav Dackner; Linus Falk; [2019]
    Nyckelord :;

    Sammanfattning : The focus of this master thesis is to develop a model that measures the risk-neutral probability distributionof the future value of a portfolio consisting of options on the S&P 500 index. The cornerstone of the model is an explicit and thorough construction of the local volatility surface. The parametric model of Coleman etal. LÄS MER

  7. 5. Thesis - Optimizing Smooth Local Volatility Surfaces with Power Utility Functions

    Master-uppsats, Linköpings universitet/Produktionsekonomi; Linköpings universitet/Tekniska fakulteten

    Författare :Gustav Sällberg; Pontus Söderbäck; [2015]
    Nyckelord :local volatility surface; LVS; optimization; roughness; smooth; risk neutral pricing; optimal growth; pricing error; automatic differentiation; algorithmic differentiation;

    Sammanfattning : The master thesis is focused on how a local volatility surfaces can be extracted by optimization with respectto smoothness and price error. The pricing is based on utility based pricing, and developed to be set in arisk neutral pricing setting. LÄS MER