Sökning: "rolling hedge"

Hittade 5 uppsatser innehållade orden rolling hedge.

1. 1. Bitcoin: The New Digital Gold?

   Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

   Författare :Kathery Angelica Razo Mendoza; [2018]
   Nyckelord :Bitcoin; Gold; Digital Gold; Minimum Variance Portfolio; Tangency Portfolio; In-sample and out-sample portfolios.; Business and Economics;

   Sammanfattning : Bitcoin has become a mainstream in the financial world. It has several similarities with Gold as low correlation with stocks, inflation hedge, government decentralization and the no currency attachment. Therefore, the name of the new “Digital Gold”. This study compares Gold and Bitcoin, offered as an alternatives financial assets. LÄS MER

3. 2. Replikering av hedgefonder : Ett rimligt investeringsalternativ?

   Magister-uppsats, Umeå universitet/Företagsekonomi

   Författare :Jonas Gustafsson; [2018]
   Nyckelord :;

   Sammanfattning : Denna studie undersöker huruvida avkastningen från hedgefonder kan replikeras med ett relativt okomplicerat tillvägagångssätt, och finner att det till en viss grad är möjligt. Med hjälp av terminskontrakt samt en ETF, används en rolling window regression över perioderna 1999–2017 och 2004–2017. LÄS MER

4. 3. Swedish Equity Sectors Risk Management with Commodities : Revisiting dynamic conditional correlations and hedge ratios

   Magister-uppsats, Linköpings universitet/Nationalekonomi

   Författare :Daniel Engström; Niklas Gustafsson; [2017]
   Nyckelord :Hedging; hedge; commodities; futures; hedge ratio; conditional correlation; DCC; GO-GARCH; DCC-GARCH; GARCH; Dynamic conditional correlation; oil; GSCI; copper; gold; safe haven; optimal hedge ratio; finance; economics; markets; risk; risk management; hedge effectiveness; Risk; riskhantering; råvaror; terminer; futures; hedging; hedge; GARCH;

   Sammanfattning : The purpose of this study is to investigate changes in dynamic conditional correlations between Swedish equity sector indices and commodities using oil, gold, copper and a general commodity index. Additionally the purpose is to evaluate which of the two methods, DCC- GARCH or GO-GARCH that is more efficient in estimating correlation for hedge ratio calculation. LÄS MER

5. 4. Efficient hedging in an illiquid market

   Uppsats för yrkesexamina på avancerad nivå, SLU/Dept. of Energy and Technology

   Författare :Erik Kalin; [2011]
   Nyckelord :risk premium; risk premia; electricity forward; rolling hedge;

   Sammanfattning : Vattenfall hedge its future electricity production in order to decrease fluctuations in theresult. Hedging can in a simplified way be described as selling the future electricity deliveriesin long-term contracts so that the future price of the delivery becomes fixed. LÄS MER

7. 5. A Value Relevant Fundamental Investment Strategy : The use of weighted fundamental signals to improve predictability

   Kandidat-uppsats, Företagsekonomiska institutionen

   Författare :Martin Eliasson; Khawar Malik; Benjamin Österlund; [2011]
   Nyckelord :Fundamental analysis; Financial statement analysis; Financial analysis; High book-to-market; quantitative analysis; statistical regression study; investment strategy; longitudinal study; NYSE; New York Stock Exchange; Nasdaq; Piotroski; Rados and Lovric; wieghted and modified Piotroski F_score; F_score; B M investment strategy; fundamental signals correlation; return correlation; rolling window investment strategy; Correlations during macroeconomic up and down periods; historical performance of fundamental signals; Piotroski s F_score; fundamental signals; Fundamental analys; en hög book-to-market investeringsstrategi; finansiell analys; Piotroski; Piotroskis F_score; Rados och Lovric; modifierat F_score; undervärderade företag; Användningen av viktade fundamentala signaler för att förbättra förutsägbarheten; fundamentala signaler;

   Sammanfattning : The aim of this study is to investigate the possibility to improve the investment model defined in Piotroski (2000) and the subsequent research carried out on this model. Our model builds further upon the original fundamental score put forth by Piotroski. LÄS MER