Essays about: "Variance risk premium"

Showing result 11 - 14 of 14 essays containing the words Variance risk premium.

  1. 11. The Dynamics of the Variance Risk Premium: Refining Volatility Forecasts and Portfolio Returns

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Fredrik Iversen; Andreas Rueckert; [2014]
    Keywords : Volatility forecasting; Variance risk premium; Implied Volatility; Realized Kernel;

    Abstract : In this paper, we investigate the dynamics of the variance risk premium and whether it can be used to achieve incremental predictability of future volatility on the S&P 500 index. Previous studies have focused on the usefulness of implied volatility in volatility forecasting. READ MORE

  3. 12. The Risk-Free Rate’s Impact on Stock Returns with Representative Fund Managers

    University essay from Lunds universitet/Företagsekonomiska institutionen

    Author : Daniel Gardtman; Simon Svensson; [2013]
    Keywords : Asset Pricing; Agency Problem; Fund Managers; Risk-Free Rate; Risk Aversion; Stock Returns; Business and Economics;

    Abstract : In this thesis, the risk-free rate’s impact on stock market excess returns was examined. Firstly, theoretical arguments were made for that a low risk-free rate might lower the excess return on the stock market, since this increases the incentive for fund managers to increase variance of returns. READ MORE

  4. 13. Beating the Swedish Market : A dynamic approach to Value Investing using Modern Portfolio Theory

    University essay from Institutionen för ekonomi och företagande

    Author : Viktor Karlsson; Emil Nygren; [2012]
    Keywords : Behavioural Finance; Capital Asset Pricing Model; Contrarian; Efficient Market Hypothesis; Glamour stocks; Investment Strategy; Market-to-Book-Value; Minimum-Variance; Modern Portfolio Theory; Risk-adjusted performance; Stock screening; Value stocks;

    Abstract : Previous research has confirmed the existence of a value premium in a wide array of markets and using this value stock anomaly has yielded superior performance. This thesis investigates if one could take advantage of the existence of a value premium to deploy a dynamic investment strategy on the Swedish stock market (OMXS30) with focus on minimizing risk to achieve higher risk adjusted performance than the stock market index. READ MORE

  5. 14. Variance Risk Premiums on the OMXS30 and S&P 500

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Magnus Petersson; Joso Saric; [2008]
    Keywords : variance; risk premium; variance swap; option; OTC;

    Abstract : In this thesis we analyze and quantify the variance risk premium, defined as the average difference between realized variance and its risk-neutral expectation. The risk-neutral expectation is obtained by using the notion of a variance swap, a contract that pays the difference between realized variance and a predetermined variance swap rate. READ MORE