Essays about: "Skewness and Kurtosis"

Showing result 26 - 30 of 30 essays containing the words Skewness and Kurtosis.

  1. 26. An empirical evaluation of Value at Risk

    University essay from Göteborgs universitet/Företagsekonomiska institutionen

    Author : Martin Gustafsson; Caroline Lundberg; [2009-01-30T09:53:45Z]
    Keywords : Value at Risk; return characteristics; historical simulation; moving average; GARCH; normal distribution; Brentoil; OMXs30; Swedish treasurybills;

    Abstract : In light of the recent financial crisis, risk management has become a very current issue. One of the most intuitive and comprehendible risk measures is Value at Risk (VaR). VaR puts a monetary value on the risk that arises from holding an asset and is defined as the “the worst loss over a target horizon with a given level of confidence”. READ MORE

  3. 27. Hedge Funds in a Traditional Portfolio : A Quantitative Case Study Made on the Swedish Hedge Fund Market

    University essay from Handelshögskolan vid Umeå universitet

    Author : Daniel Sundqvist; [2009]
    Keywords : Hedge funds; portfolio optimization; markowitz; mean-variance; efficient frontier; case study; skewness; kurtosis; sortino ratio; sharpe ratio; downside deviation; omega ratio;

    Abstract : Hedge funds are a debated subject in today’s financial industry. During 2008, despite hedge funds absolute return target, the global hedge fund industry showed a negative performance whilst the Swedish hedge fund market performed relatively well in comparison. READ MORE

  4. 28. Capacity Performance Measures in International Airline Alliances : The case of Star Alliance

    University essay from IHH, EMM (Entrepreneurskap, Marknadsföring, Management)

    Author : Henrik Holmgren; Colin Platt; Johan Svennerholm; [2008]
    Keywords : Strategic Alliances; Efficency; Load Factor; Star Alliance;

    Abstract : Background Strategic alliances have become increasingly popular within the business world, they can be seen as a way to improve the total output of the firm. Over the last 10 years, the industry endured trying times, the most notable being the events of September 11, 2001. That event drastically changed airline traveling all across the world. READ MORE

  5. 29. A Quantitative Risk Optimization of Markowitz Model : An Empirical Investigation on Swedish Large Cap List

    University essay from Institutionen för matematik och fysik

    Author : Oliver Bjärnbo; Amir Kheirollah; [2007]
    Keywords : Optimisation; Portfolio theory; Stock Market; Markowitz; Excel Modeling; VaR; Sharpe ratio;

    Abstract : This paper is an empirical study on Harry Markowitz work on Modern Portfolio Theory. The model introduced by him assumes the normality of assets’ return. We examined the OMX Large Cap List1 by mathematical and statistical methods for normality of assets’ returns. READ MORE

  6. 30. Pricing Skewness and Kurtosis Risk on the Swedish Stock Market

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Andreas Johansson; [2005]
    Keywords : mean-variance; Skewness; Kurtosis; CAPM; moments; Economics; econometrics; economic theory; economic systems; economic policy; Nationalekonomi; ekonometri; ekonomisk teori; ekonomiska system; ekonomisk politik; Business and Economics;

    Abstract : This paper investigates the role of higher moments on the Swedish stock market 1979-2004 using the asset pricing framework developed in Fang & Lai (1997). The models are estimated using a two-step ordinary least squares procedure and, in addition, an instrumental variables approach to account for the potential problem of errors in variables. READ MORE