Essays about: "Asset classes"

Showing result 1 - 5 of 80 essays containing the words Asset classes.

  1. 1. Empirical Analysis of Dependence Structure Between Assets: A Study of the Impact of Infation on Dependence Between Stock Portfolios and Gold

    University essay from Göteborgs universitet/Graduate School

    Author : Tim Baldesten Pajunen; Filip Steussloff; [2023-06-29]
    Keywords : Infation;

    Abstract : In this paper, we study the impact of inflation on the dependence and volatilities of gold and stock portfolios constructed by Fama and French. To model the dependence structure, we propose a copula probability model. READ MORE

  3. 2. Portfolio Strategies Under Different Inflationary Regimes

    University essay from KTH/Matematik (Avd.)

    Author : Mohit Parkash; Diana Halladgi Naghadeh; [2023]
    Keywords : Inflation; Regression Analysis; Portfolio Optimization; Markowitz; Efficient Frontier; Asset Allocation; Portfolio Management; Financial Mathematics; Inflation; Regressionsanalys; Portföljoptimering; Markowitz; Effektiv Front; Tillgångsallokering; Portföljförvaltning; Finansiell Matematik;

    Abstract : In 2023, the topic of ongoing inflation is being discussed almost daily as it has become inevitable. The global economy is facing significant uncertainty and downward pressure as several leading developed nations adopted expansionary fiscal policies and quantitative easing monetary policies during the pandemic. READ MORE

  4. 3. The effect of covid-19 announcement on sustainable investment portfolios : Observation of the flight-to-quality phenomenon

    University essay from Jönköping University/Internationella Handelshögskolan

    Author : Vladislovas Urbonavicius; Iulia Chirita; [2023]
    Keywords : Sustainable investment portfolio; ESG; Covid-19; Flight-to-quality; Market Shock; Cryptocurrency; Proof-of-stake; proof-of-work.;

    Abstract : The economic impact of the COVID-19 pandemic is still an ongoing topic, broadly analysed and discussed in many studies. Recent articles state that sustainable assets can offer return volatility resilience during demand shock events and, in some cases, provide higher returns than their unsustainable counterparts. READ MORE

  5. 4. Macroeconomic Factors and their role in Moderating Diversification effect of Asset Classes in the EU

    University essay from Umeå universitet/Företagsekonomi

    Author : Karl Nilsson; Tanyue Zheng; [2023]
    Keywords : macroeconomic factors; asset classes; diversification strategies; portfolio management; institutional qualities;

    Abstract : After the 2008 financial crisis, some have questioned the historically positive benefits ofdiversification, meanwhile others have stated a clear misunderstanding of whatdiversification entails. This study argues diversification is still viable in portfolio theory,and that more effort should be emphasized on macroeconomic factors’ role in theoptimal portfolio. READ MORE

  6. 5. In the Core of the Storm: Revisiting Inflation Hedging Properties Within and Across Asset Classes

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Jakub Kacperczyk; Moritz Kornherr; [2023]
    Keywords : Inflation hedging; Inflation risk premium; Inflation forecasting; Bond-Stock Correlation;

    Abstract : The recent surge in inflation has reignited discussions on hedging inflation risks, forming the focal point of this study. In our paper we consider conventional asset classes from 1968 to 2023 as well as alternative assets from 2020 to 2023 and find that no asset class provides a statistically significant hedge against core inflation shocks, while commodities and currencies can hedge headline and energy inflation risk. READ MORE