Essays about: "Variance risk premium"

Showing result 6 - 10 of 14 essays containing the words Variance risk premium.

  1. 6. Good and Bad Macroeconomic Uncertainty: Implications for Bond Risk Premia

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Philip Hamnå; Federico Valenza; [2017]
    Keywords : Macroeconomic uncertainty; Bond risk premia; Countercyclical; Semi-variance;

    Abstract : This paper explores the predictive power of macroeconomic uncertainty on bond risk premia. We decompose quarterly survey data into good and bad uncertainty components by estimating positive and negative semi-variances. Building on theoretical evidence, these uncertainties are assumed to feed into future positive and negative shocks to consumption. READ MORE

  3. 7. Mutual fund performance in the Swedish premium system - Beyond the mean-variance framework

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Rasmus Håkansson; [2017]
    Keywords : PPM mutual fund performance higher moments Sharpe ratio; Business and Economics;

    Abstract : This paper presents an evaluation of the Swedish pension system, using performance measures that accounts for higher moments of the distribution. The aim of this study is to analyze the relationship between the classical Sharpe ratio and more sophisticated measures, while specifically focusing on the outcome of the default fund in the system. READ MORE

  4. 8. Risk Premium Prediction of Car Damage Insurance using Artificial Neural Networks and Generalized Linear Models

    University essay from KTH/Matematisk statistik

    Author : Lovisa Styrud; [2017]
    Keywords : ;

    Abstract : Over the last few years the interest in statistical learning methods, in particular artificial neural networks, has reawakened due to increasing computing capacity, available data and a strive towards automatization of different tasks. Artificial neural networks have numerous applications, why they appear in various contexts. READ MORE

  5. 9. Emerging and Frontier Markets for Risk Averse Investors? : A study on equity risk premium and correlation in 96 markets.

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

    Author : Erik Kugelberg; [2016]
    Keywords : equity risk premium; correlation; diversification; portfolio theory; frontier markets; emerging markets; pension funds;

    Abstract : Introduction: The portfolio theory states that an investor has to take into consideration expected return and variance to construct an optimal portfolio along the efficient frontier. The equity risk premium suggests that an investment’s expected return is related to the amount of risk it consists of. READ MORE

  6. 10. Volatility of Volatility - The Uncertainties of Risks

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Mladen Milutinovic; Haojiang Zhao; [2015]
    Keywords : Empirical Asset Pricing; Volatility of Volatility; Volatility; Risk factors in Asset Pricing; Long-Short Trading Strategy;

    Abstract : This paper is an attempt to explore the characteristics of volatility of volatility on the aggregate level and investigate its role in the pricing of equity assets. Several measures of volatility of volatility for the S&P 500 index are elaborated and investigated in this study; realized, parametrized and implied. READ MORE