Essays about: "Equity futures"
Showing result 6 - 10 of 24 essays containing the words Equity futures.
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6. Measuring the impact of strategic and tactic allocation for managed futures portfolios
University essay from KTH/Matematisk statistikAbstract : 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
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7. Measuring the Risk-neutral Probability Distribution of Equity Index Options
University essay from Linköpings universitet/ProduktionsekonomiAbstract : 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
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8. Spiritual Activism for At-Risk Youth : Compassionate Saint Augustine’s Youth Academy Initiative, an Ethnographic Study
University essay from Uppsala universitet/Teologiska institutionenAbstract : 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
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9. Evaluating the Risk Premium in the Cross-Section of Commodity Futures
University essay from Lunds universitet/Nationalekonomiska institutionenAbstract : 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
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10. Swedish Equity Sectors Risk Management with Commodities : Revisiting dynamic conditional correlations and hedge ratios
University essay from Linköpings universitet/NationalekonomiAbstract : The purpose of this study is to investigate changes in dynamic conditional correlations between Swedish equity sector indices and commodities using oil, gold, copper and a general commodity index. Additionally the purpose is to evaluate which of the two methods, DCC- GARCH or GO-GARCH that is more efficient in estimating correlation for hedge ratio calculation. READ MORE