Essays about: "Tail Events"

Showing result 1 - 5 of 20 essays containing the words Tail Events.

1. 1. The effects of political uncertainty on options: An empirical study of S&P 500, Euro Stoxx 50, and S&P sectors around political events

   University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Author : Gabriel Wannes; Nihat Anwar; [2021]
   Keywords : Political uncertainty; Options; Implied volatility; Sectors;

   Abstract : We study options spanning political events and examine whether a price premium, associated with the political uncertainty from events, exists. First, we use recent data and replicate parts of Kelly, Pastor, and Veronesi (2016) by analysing how the price risk, variance risk, and tail risk associated with political events, affect equity options on the S&P 500 and Euro Stoxx 50 indices. READ MORE

3. 2. Considering Tail Events in Hedge Fund Portfolio Optimization

   University essay from Linköpings universitet/Produktionsekonomi

   Author : Josefin Bladh; Holm Greta; [2021]
   Keywords : Portfolio Optimization; Hedge Funds; Tail Events; Mean-CVaR;

   Abstract : The Fourth Swedish National Pension Fund (AP4), as well as many other large investors, has noted deficiencies the Mean-Variance framework for portfolio management of asset with non-normal characteristics. The main problem apparent in the Mean-Variance framework, when investing in alternative assets such as hedge funds, is the lacking systematic control of the balance between the measurements of risk due normal variation and tail-risk. READ MORE

4. 3. Multiplicity and Classification of Final State Particles in Herwig7

   University essay from Lunds universitet/Teoretisk partikelfysik - Geonomgår omorganisation

   Author : Carl Rosenkvist; [2021]
   Keywords : MPI; multiple parton interactions; multi-parton interactions; event generation; cluster; cluster classification; Herwig7; Physics and Astronomy;

   Abstract : In this work we investigate the hard and soft interactions in the multiple parton interactions (MPI) simulation in Herwig7. The investigation covers how the number of soft and hard interactions in an event is linked to the multiplicity of final state particles. READ MORE

5. 4. Are investors better safe than sorry? The impact of extreme losses in the return distribution on capital allocation in actively managed equity funds

   University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Author : Ylvali Busch; Gustav Göransson; [2020]
   Keywords : Mutual funds; Actively managed equity funds; Fund flows; Extreme payoffs; Prospect theory;

   Abstract : In this paper, we show that capital flow to actively managed equity funds is dependent on past extreme negative return states of the fund. Specifically, we examine how an extreme negative monthly payoff impacts the investment flow of actively managed equity funds in the following year, adjusting for past performance and other fund characteristics. READ MORE

6. 5. Investigating Persistence Layers for Notifications

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

   Author : Isabel Ghourchian; [2019]
   Keywords : Databases; Notifications; Storage; Events; NoSQL; SQL; Schema; JSON; Databaser; Notifikationer; Lagring; Event; NoSQL; SQL; Schema; JSON;

   Abstract : This work was carried out for Cisco at the Tail-f department. Cisco’s main focus is on network and telecommunication. The Tail-f department is the developer of a network service automatization product that allows customers to automate the process of adding, removing and manage their developed devices and services in their network. READ MORE