Essays about: "Cross-Asset"

Found 4 essays containing the word Cross-Asset.

  1. 1. The effect of monetary policy on active investments

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Alexander Berglund; [2018]
    Keywords : Monetary Policy; Stock Prediction; Hedge Funds; Alpha; Cross-Asset;

    Abstract : This paper examines the effects of U.S. monetary policy announcements in the aftermath of the subprime crisis on financial analysts' ability to predict stock prices. We study such effects, if any, using Bloomberg data on equity analyst 12-month target prices and subsequent realized stock prices. READ MORE

  3. 2. Tail Dependence Considerations for Cross-Asset Portfolios

    University essay from KTH/Matematisk statistik

    Author : Johanna Trost; [2016]
    Keywords : ;

    Abstract : Extreme events, heaviness of log return distribution tails and bivariate asymptotic dependence are important aspects of cross-asset tail risk hedging and diversification. These are in this thesis investigated with the help of threshold copulas, scalar tail dependence measures and bivariate Value-at-Risk. READ MORE

  4. 3. Risk Managed Time Series Momentum

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Sutian Ming; Richard Eidestedt; [2015]
    Keywords : momentum crash; time series momentum; time-varying risk; optionality;

    Abstract : This paper aims to investigate the crashes of time series momentum and to explore a systematic approach that mitigates the crashes of this strategy. Similar to cross-sectional momentum, time series momentum is also prone to severe drawdowns subsequent of a market decline when market volatility is high, contemporaneous with market reversals. READ MORE

  5. 4. Time-Varying Correlation and the Benefits of Cross-Asset Class Diversification

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Tobias Lideus; Rikard Engberg; [2013]
    Keywords : Correlation; Diversification; Investment Management; Corporate bonds; Sharpe ratio;

    Abstract : In this thesis, return data on the US stock and corporate bond markets together with gold and WTI-Crude Oil prices over the period 1987 - 2012 were used to examine the time-varying correlations and benefits from cross-asset class diversification. It concludes that correlations vary distinctly over time and an all-equity investor benefit from having positions in the bond market, as investment grade bonds have shown a generally low or negative correlation with the stock market during crises. READ MORE