Essays about: "Sam Bigdeli"

Found 2 essays containing the words Sam Bigdeli.

  1. 1. Portfolio Optimization : A DCC-GARCH forecast with implied volatility

    University essay from Linnéuniversitetet/Institutionen för ekonomistyrning och logistik (ELO)

    Author : Sam Bigdeli; Filip Bengtsson; [2019]
    Keywords : DCC-GARCH; Portfolio Optimization; Certainty Equivalence Tangency; CET; Global Minimum Variance; GMV; Minimum Conditional Value-at-Risk; MinCVaR; Implied volatility index; VIX;

    Abstract : This thesis performs portfolio optimization using three allocation methods, Certainty Equivalence Tangency (CET), Global Minimum Variance (GMV) and Minimum Conditional Value-at-Risk (MinCVaR). We estimate expected returns and covariance matrices based on 7 stock market indices with a DCC-GARCH model including an ARMA (1. READ MORE

  3. 2. Oil exposure, hedging and firm value : A quantitative study on the U.S. airline industry

    University essay from Linnéuniversitetet/Institutionen för ekonomistyrning och logistik (ELO)

    Author : Sam Bigdeli; Petra Marcusson; [2018]
    Keywords : Finance; hedging; jet fuel; oil exposure; airline industry;

    Abstract : This thesis examines the impact of oil price fluctuations and jet fuel hedging on firm value before, during and after the subprime crisis. Four regressions are estimated with two different variables representing firm value; market return and market valuation. READ MORE