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Found 2 essays matching the above criteria.

1. 1. Investment in Value: A Copula Approach

   University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Author : Gustaf Soldan Patrikson; Victor Andrée; [2016]
   Keywords : factor investing; copula; tail dependence; diversification;

   Abstract : We evaluate how factor equity strategies are optimally combined, focusing on the role of the value factor (HML) against the background of a recent academic discussion about its potential redundancy, and the discovery of the investment (CMA) and profitability (RMW) factors. The analysis is centered around a conditional joint return distribution from a dynamic copula model, which allows for simulation with a time-varying and non-normal dependence structure. READ MORE

3. 2. Religious Frictions on the Capital Markets

   University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Author : Victor Andrée; Katarina Warg; [2014]
   Keywords : Islamic finance; sukuk; Malaysian treasury market; illiquidity; yield spread;

   Abstract : The Malaysian government strives to establish an Islamic capital market in synchrony with the conventional market. Looking at conventional bonds and sukuk (Islamic bonds) issued by the same entity (Government of Malaysia), denominated in the same currency and traded on the same trading platform we find a statistically significant price deviation for short and medium term maturities. READ MORE