Essays about: "back-testing"
Showing result 1 - 5 of 20 essays containing the word back-testing.
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1. Dispersion Trading: A Way to Hedge Vega Risk in Index Options
University essay from KTH/Matematik (Avd.)Abstract : Since the introduction of derivatives to the financial markets, volatility trading has emerged as a method for investors to make money in every market condition. In parallel with introducing derivatives to the financial markets, hedging methods have emerged and are today essential instruments for the liquidity providers active in the markets. READ MORE
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2. Robo-Advisor portfolioperformance : Studying the effects of building an efficientportfolio from Value at Risk, ExpectedShortfall and Mean-Variance optimization
University essay from Blekinge Tekniska Högskola/Institutionen för industriell ekonomiAbstract : In this research we conduct an in-depth examination of the several financial theories as well asevaluating different implementations of a hypothetical Robo-advisor and the correspondingperformance under market stress (COVID-19). Thus, we contribute a view on Robo-advisors’ benefitsand limitations, providing a foundation for better understanding its potential. READ MORE
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3. A study incorporating skewness in Expected Shortfall Estimation
University essay from Lunds universitet/Nationalekonomiska institutionenAbstract : Expected Shortfall has become a prominent risk measure after the global financial crisis which hit the economy in 2007. This master thesis examines whether Expected Shortfall (ES) estimation gives better estimates when we incorporate skewness and the impact during turbulent versus tranquil period. READ MORE
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4. Expected Shortfall Estimation
University essay from Lunds universitet/Nationalekonomiska institutionenAbstract : This thesis evaluates the performance of Expected Shortfall estimation with normal, student-t and skewed distributions. It is stylized fact that student-t distribution generally outperforms normal distribution. READ MORE
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5. Application of Mean Absolute Deviation Optimization in Portfolio Management
University essay from KTH/Matematisk statistikAbstract : This thesis is an implementation project of a portfolio optimization model, with the purpose of creating a decision support tool. It aims to provide quantitative input to the portfolio construction process at Handelsbanken Fonder, by applying Konno & Yamazaki’s Mean Absolute Deviation method, with a Feinstein & Thapa modification. READ MORE