Essays about: "Bond Futures"

Showing result 1 - 5 of 6 essays containing the words Bond Futures.

  1. 1. Kehrä/Kehrae : A moment in between

    University essay from Stockholms konstnärliga högskola/Institutionen för cirkus

    Author : Myrsky Rönkä; [2022]
    Keywords : Circus; ritual; liminality; communitas; play; animism; gift; rope; circus practice; nature; intimacy orientation; regenerative; sustainability;

    Abstract : First of all, my research is not only my research but our research. It has been made together with my long-time art companion Marjut Hernesniemi. The starting point for our research was our experience of the western modern circus, what it does, and how it cares for the cosmos. READ MORE

  2. 2. Hierarchical Clustering in Risk-Based Portfolio Construction

    University essay from KTH/Matematisk statistik

    Author : Natasha Nanakorn; Elin Palmgren; [2021]
    Keywords : Portfolio construction; asset allocation; risk-based asset allocation; hierarchical clustering; agglomerative clustering; hierarchical risk parity; risk; volatility; Portföljallokering; portföljhantering; portföljmetoder; riskbaserad portföljallokering; hierarkisk klustring; agglomerativ klustring; risk; volatilitet;

    Abstract : Following the global financial crisis, both risk-based and heuristic portfolio construction methods have received much attention from both academics and practitioners since these methods do not rely on the estimation of expected returns and as such are assumed to be more stable than Markowitz's traditional mean-variance portfolio. In 2016, Lopéz de Prado presented the Hierarchical Risk Parity (HRP), a new approach to portfolio construction which combines hierarchical clustering of assets with a heuristic risk-based allocation strategy in order to increase stability and improve out-of-sample performance. READ MORE

  3. 3. Analysis of Macroeconomic Factors Affecting Global Gold Prices: A Multiple Linear Regression Study

    University essay from KTH/Matematisk statistik

    Author : Niklas Hansson; Sebastian Persson; [2021]
    Keywords : ;

    Abstract : This thesis examines the correlation between some macroeconomic factors andthe monthly difference in gold price with the objective of examining if, and towhat extent they are related. This is done with the ambition to identify the mostinfluential drivers affecting the change in gold price. READ MORE

  4. 4. Measuring the impact of strategic and tactic allocation for managed futures portfolios

    University essay from KTH/Matematisk statistik

    Author : Alva Engström; Filippa Frithz; [2019]
    Keywords : ;

    Abstract : The optimal asset allocation is an ever current matter for investment managers. This thesis aims to investigate the impact of risk parity and target volatility on the Sharpe ratio of a portfolio consisting of futures contracts on equity indices and bonds during the period 2000-2018. READ MORE

  5. 5. Bid-Ask Spread Dynamics - A Market Microstructure Invariance Approach

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Bo Liljefors; Wilhelm Jansson; [2011]
    Keywords : Market Microstructure Invariance; Bid-Ask Spread; Bond Futures; Business and Economics;

    Abstract : The theory of Market Microstructure Invariance proposed by Kyle and Obizhaeva (2010) is presented and tested on spread data for bond futures. The data used are transformations from over 150,000 observations of futures on German government debt securities (Schatz and Bund) and 10-year US treasury notes. READ MORE