Essays about: "Asset classes"
Showing result 6 - 10 of 80 essays containing the words Asset classes.
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6. Inflation risk revisited : The hedging properties of major asset classes
University essay from Karlstads universitet/Handelshögskolan (from 2013)Abstract : This paper is in large parts an update to a paper by Bekaert and Wang from 2010 called Inflation risk and the inflation risk premium. Its purpose is to find insights into the inflation hedging properties of the major asset classes. READ MORE
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7. Diversifying a Real Estate Portfolio Through Infrastructure Investment : An Interview Study of Opportunities and Challenges in the Nordics
University essay from KTH/Fastighetsföretagande och finansiella systemAbstract : Since the financial crisis infrastructure has become an increasingly attractive asset class for investors, especially among financial institutions, who recognize the value of diversification opportunities within infrastructure. In parallel with the emergence of infrastructure as an investable asset class, the global financial turbulence has generated even greater incentives for investors to diversify their portfolios with infrastructure, as the asset class exhibits characteristics to navigate in a more challenging economic environment. READ MORE
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8. Modelling Risk in Real-Life Multi-Asset Portfolios
University essay from KTH/Matematik (Avd.)Abstract : We develop a risk factor model based on data from a large number of portfolios spanning multiple asset classes. The risk factors are selected based on economic theory through an analysis of the asset holdings, as well as statistical tests. READ MORE
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9. Yield Curve Dynamics - Exploring Fundamental Factor Sensitivities
University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiAbstract : Factor investing has gained popularity in recent decades, but while ample research has been conducted in asset classes such as equities and currencies, comparatively less attention has been devoted to the potential of investing in government bonds. This study explores fundamental factor sensitivities on the yield curve spread prior to and after 2018 making the last five years, that are coined by increased volatility in expected returns for government bonds, volatile growth developments, and heightened inflation, a true out-of-sample period to previous research. READ MORE
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10. Risk Assessment of International Mixed Asset Portfolio with Vine Copulas
University essay from Linköpings universitet/Tillämpad matematik; Linköpings universitet/Tekniska fakultetenAbstract : This thesis gives an example of assessing the risk of a financial portfolio with international assets, where the assets may be of different classes, by the use of Monte Carlo simulation and Extreme Value Theory. The simulation uses univariate modelling, models of the assets’ returns as stochastic processes, as well as vine copulas to create dependency between the variables. READ MORE