Essays about: "Asset Allocations"

Showing result 1 - 5 of 10 essays containing the words Asset Allocations.

  1. 1. ESG INTEGRATION: ESG SCORE MOMENTUM FACTOR AS ASSET CHARACTERISTIC AND OPTIMAL PARAMETRIC PORTFOLIO - AN EMPIRICAL RESULT OF THE US STOCK MARKET.

    University essay from Göteborgs universitet/Graduate School

    Author : Lien Hoang; [2021-06-30]
    Keywords : Responsible Investment; ESG Factor Investment; Sustainable Investment; ESG Integration; ESG Investment; Sustainability;

    Abstract : Sustainable finance has become the rising concern of the global markets. The term ESG investment has been discussed in many international forums. The number of ESG investment assets and ESG investment products is increasing continuously. READ MORE

  3. 2. A Utility Approach: Strategy Analysis and Optimization

    University essay from Lunds universitet/Matematisk statistik

    Author : Magnús Ólafur Sigurdsson; [2019]
    Keywords : Utility optimization; Portfolio analysis; Dynamic programming; Bellman equation.; Technology and Engineering;

    Abstract : Utility theory and Monte Carlo simulations are used to calculate optimal allocation for long term as well as, risk averse investors with a portfolio consisting of one risky asset and one risk-free bank account. The problems solved in this thesis are divided into two types, static and dynamic. READ MORE

  4. 3. Green Investments Under Uncertainty : - A cross-quantilogram approach

    University essay from Linköpings universitet/Nationalekonomi

    Author : Elsa Boyer de la Giroday; David Stenvall; [2019]
    Keywords : Green bonds; Renewable energy; Cross-quantilogram; Tail-dependence; Uncertainty;

    Abstract : In this study, we analyze the quantile dependence for green bond returns and renewable energy stock returns with three major asset classes: corporate bonds, stocks and oil. Furthermore, we control the dependence structure for technology, uncertainties as well as lag structures and time-varying effects. READ MORE

  5. 4. Monte Carlo Simulations of Portfolios Allocated with Structured Products : A method to see the effect on risk and return for long time horizons

    University essay from Umeå universitet/Institutionen för fysik

    Author : Malin Fredriksson; [2018]
    Keywords : Monte Carlo; Finance; Value-at-Risk; Expected Shortfall; Portfolio; Non-linear instruments; Structured Products;

    Abstract : Structured products are complex non-linear financial instruments that make it difficult to calculate their future risk and return. Two categories of structured products are Capital Protected and Participation notes, which are built by bonds and options. READ MORE

  6. 5. Commodity Futures Investing from a Swedish Pension Fund Perspective

    University essay from Göteborgs universitet/Graduate School

    Author : Linn Nilsson; Tilda Wikström; [2016-10-07]
    Keywords : commodity futures; pension funds; AP-funds; portfolio efficiency; intersection-test; mean-variance spanning test; DCC GARCH;

    Abstract : Our study examines if the Swedish General Pension funds (AP-funds) could benefit from investing in commodity futures derivatives, which they are currently prohibited from. The effect of adding commodity futures to the holdings of the AP-funds is examined during the period 2001 to 2015, with extended analyses on accumulated bull and bear periods. READ MORE