Essays about: "Equity futures"

Showing result 1 - 5 of 20 essays containing the words Equity futures.

  1. 1. Dependence Structures between Commodity Futures and Corresponding Producer Indices across Varying Market Conditions : A cross-quantilogram approach

    University essay from Linköpings universitet/Nationalekonomi; Linköpings universitet/Nationalekonomi

    Author : Elin Borg; Ilya Kits; [2020]
    Keywords : Commodity futures contracts; Commodity producer index; Cross-quantilogram; Dependence structures; Spillovers; Tail dependence;

    Abstract : This thesis examines the dependence structures between commodity futures and corresponding commodity producer equity indices in bearish, bullish and normal market conditions. We study commodity futures and producer indices in the energy, precious metals, gold and agriculture commodity markets using daily return data that ranges from 16 December 2005 to 28 June 2019. READ MORE

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

    University essay from KTH/Matematisk statistik; 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

  3. 3. Measuring the Risk-neutral Probability Distribution of Equity Index Options

    University essay from Linköpings universitet/Produktionsekonomi; Linköpings universitet/Produktionsekonomi

    Author : Gustav Dackner; Linus Falk; [2019]
    Keywords : ;

    Abstract : The focus of this master thesis is to develop a model that measures the risk-neutral probability distributionof the future value of a portfolio consisting of options on the S&P 500 index. The cornerstone of the model is an explicit and thorough construction of the local volatility surface. The parametric model of Coleman etal. READ MORE

  4. 4. Spiritual Activism for At-Risk Youth : Compassionate Saint Augustine’s Youth Academy Initiative, an Ethnographic Study

    University essay from Uppsala universitet/Teologiska institutionen

    Author : Shanti Grafström; [2018]
    Keywords : Spiritual; Activism; Social Justice; Juvenile Rehabilitation; Restorative Justice; Racism; Meditation; Collective Consciousness Shift; Compassion; Ethnography;

    Abstract : BACKGROUND:  This is an ethnographic study of two communities coming together to serve at-risk youth in St. Augustine, Florida. Compassionate St Augustine (CSA) is a non-profit organization grounded in the Golden Rule that promotes compassion-based practices in schools, businesses, faith communities, and government. READ MORE

  5. 5. Evaluating the Risk Premium in the Cross-Section of Commodity Futures

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Oliwer Berglund; Martin Rabe Gundersen; [2018]
    Keywords : Commodity Futures; Risk Premium; Asset Pricing Models; Fama-MacBeth; Specific Factors.; Business and Economics;

    Abstract : Departing from the increased interest in and beneficial characteristics of investments in commodity futures evident in the literature. This paper evaluates the existence of factors that may explain the cross-section of commodity futures through macro, equity and commodity specific factors. READ MORE