Essays about: "Portfolio Rebalancing Model"

Showing result 1 - 5 of 14 essays containing the words Portfolio Rebalancing Model.

1. 1. Predicting the Options Expiration Effect Using Machine Learning Models Trained With Gamma Exposure Data

   University essay from KTH/Skolan för elektroteknik och datavetenskap (EECS)

   Author : Alexander Dubois; [2022]
   Keywords : AdaBoost; LSTM; Machine learning; Random forests; Stock markets; SVM;

   Abstract : The option expiration effect is a well-studied phenome, however, few studies have implemented machine learning models to predict the effect on the underlying stock market due to options expiration. In this paper four machine learning models, SVM, random forest, AdaBoost, and LSTM, are evaluated on their ability to predict whether the underlying index rises or not on the day of option expiration. READ MORE

3. 2. PEPP Talk: The Impact of the ECB's Pandemic Emergency Purchase Programme on the Corporate Bond Market

   University essay from Lunds universitet/Företagsekonomiska institutionen

   Author : Lorenzo Gianni Günther; Emma Lundblad; [2022]
   Keywords : Quantitative Easing; The European Central Bank; The Pandemic Emergency Purchase Programme; Corporate Bonds; Covid-19; Credit Spread; Business and Economics;

   Abstract : Purpose: This thesis aims to evaluate whether the ECB’s Pandemic Emergency Purchase Programme (PEPP) cushioned the Covid-19 crisis’ impact on the Euro area’s corporate bond market and relieved borrowing conditions. Methodology: The methodology is based upon unbalanced panel data and difference-in-differences regressions with firm-clustered standard errors. READ MORE

4. 3. Swap Book Hedging using Stochastic Optimisation with Realistic Risk Factors

   University essay from Linköpings universitet/Produktionsekonomi

   Author : Rickard Nordin; Emil Mårtensson; [2021]
   Keywords : Term structure measurement; optimization; hedging; swap portfolio; interest rate swaps; stochastic programming; FRA; IRS; dimension reduction; component analysis; component decomposition; signal separation;

   Abstract : Market makers such as large banks are exposed to market risk in fixed income by acting as a counterparty for customers that enter swap contracts. This master thesis addresses the problem of creating a cost-effective hedge for a realistic swap book of a market maker in a multiple yield curve setting. READ MORE

5. 4. Profitability of Technical Trading Strategies in the Swedish Equity Market

   University essay from KTH/Matematisk statistik

   Author : Azmain Alam; Gustav Norrström; [2021]
   Keywords : Trading; Technical analysis; stocks; stonks; Equity markets; abnormal returns; moving average; RSI; relative strength index; MACD; moving average convergence divergence; Trading; teknisk analys; aktier; aktiemarknaden; överavkastning; glidande medelvärde; RSI; relative strength index; MACD; moving average convergence divergence;

   Abstract : This study aims to see if it is possible to generate abnormal returns in the Swedishstock market through the use of three different trading strategies based on technicalindicators. As the indicators are based on historical price data only, the study assumesweak market efficiency according to the efficient market hypothesis. READ MORE

6. 5. The Effects of Equal Weighting and Rebalancing on Portfolio Performance

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Magdalena Stefanovska; [2020]
   Keywords : Equal weighting; rebalancing; Swedish stock market; equity portfolio; contrarian; idiosyncratic risk; four-factor model; Business and Economics;

   Abstract : This study compares the performance of equal- and value-weighted portfolios using a broad investment universe consisting of the stocks from the Swedish stock market. While implementing random sampling in the portfolio construction procedure, three rebalancing schemes are applied on the equally weighted portfolio in order to observe differences in performance among these. READ MORE