Essays about: "Single-factor model"

Showing result 1 - 5 of 14 essays containing the words Single-factor model.

  1. 1. Implied volatility with HJM–type Stochastic Volatility model

    University essay from Mälardalens högskola/Akademin för utbildning, kultur och kommunikation

    Author : Thi Diu Cap; [2021]
    Keywords : Implied volatility surface; stochastic volatility model; HJM framework;

    Abstract : In this thesis, we propose a new and simple approach of extending the single-factor Heston stochastic volatility model to a more flexible one in solving option pricing problems.  In this approach, the volatility process for the underlying asset dynamics depends on the time to maturity of the option. READ MORE

  3. 2. Are Women the Real Alpha Males? Gender differences through the lense of performance and risk in the Swedish mutual fund industry

    University essay from Göteborgs universitet/Graduate School

    Author : Albin Helgesson; Clara Lindblad; [2020-07-01]
    Keywords : Mutual Funds; Gender Differences; Risk Behavior; Performance;

    Abstract : This master thesis examines gender differences between Swedish mutual fund managers concerning fund performance and risk behavior. The examined period extends from January 2015 to December 2019 and the data consist of 421 mutual equity funds of which 17% are mutual funds’ managed by females. READ MORE

  4. 3. Performance Evaluation of Small- and Large-cap stocks - The importance of size effects on the Swedish equity market

    University essay from Göteborgs universitet/Institutionen för nationalekonomi med statistik

    Author : Andreas Carlsson; Erik Hulth; [2019-02-20]
    Keywords : Performance Evaluation; Asset pricing; Size Effect; Sharpe Ratio; Treynor ratio; Jensen´s alpha; Risk-Adjusted Returns; Fama-French Three-Factor Model; Carhart Four-Factor Model; Multi-factor models; Single-factor model;

    Abstract : This Bachelor´s thesis investigated the performance of small-cap stocks and large-cap stocks on the Swedish equity market (NASDAQ OMX) over the years 2011 to 2016. A number of studies focused on asset pricing have during the last decades indicated that the original Capital Asset Pricing Model (CAPM) is misspecified and has limited power to explain cross-sectional and temporal variations in expected equity returns. READ MORE

  5. 4. Why some energy cooperatives diversify and others do not: A comparative case study in Bavaria

    University essay from Uppsala universitet/Institutionen för geovetenskaper

    Author : Florian Roth; [2019]
    Keywords : energy cooperatives; diversification; founding initiative; internal resources; external resources; sustainable development;

    Abstract : Energy cooperatives have become an important player in the German energy transition. After two legal amendments in the Renewable Energy Act in 2012 and 2014 the number of new foundations dropped sig-nificantly. READ MORE

  6. 5. Momentum Returns in Different Market Climates: Evidence from the Pakistani Stock Market

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Ludvig Övergaard; Sebastian Benic; [2019]
    Keywords : Momentum Returns; Pakistani Stock Market; Market Climates; Dual Beta;

    Abstract : In our study, we investigate the risk-return relationship under different market-climates for the momentum strategy on the Pakistan stock exchange (PSX) between February 1999 and February 2019. We test three strategies with different formation/holding-periods; 3/3, 6/6 and 12/3. We use a single-factor model (CAPM) to analyze these relationships. READ MORE