Essays about: "asset holding"

Showing result 1 - 5 of 33 essays containing the words asset holding.

  1. 1. A Multi-Level Extension of the Hierarchical PCA Framework with Applications to Portfolio Construction with Futures Contracts

    University essay from KTH/Matematisk statistik

    Author : Kajsa Bjelle; [2023]
    Keywords : Portfolio construction; asset allocation; principal component analysis; hierarchical principal component analysis; hierarchical shrinkage; eigenportfolio risk; Portföljkonstruktion; tillgångsallokering; principalkomponentanalys; hierarkisk principalkomponentanalys; hierarkisk krympning; egenportföljrisk;

    Abstract : With an increasingly globalised market and growing asset universe, estimating the market covariance matrix becomes even more challenging. In recent years, there has been an extensive development of methods aimed at mitigating these issues. READ MORE

  3. 2. Navigating in the ESG score jungle- A cross-sectional approach to determine the ESG risk factor

    University essay from Göteborgs universitet/Graduate School

    Author : Gustav Pettersson; Mattias Öhrn; [2022-06-29]
    Keywords : Asset Pricing; ESG Investing; ESG Risk Score; Factor Models; Fama-MacBeth Regressions; Time-Series Regressions;

    Abstract : This thesis examines the relationship between ESG scores and yearly excess return between 2010 and 2020 on the S&P 500 Index. With a solid theoretical background regarding investor preferences, we ask whether investors accept lower returns for holding greener assets. READ MORE

  4. 3. LEAST -SQUARE MONTE CARLO BASED OPTION PRICING OF EUROPEAN AND BERMUDAN STOCK INDEX OPTIONS

    University essay from Lunds universitet/Matematisk statistik

    Author : Oscar Brink Bolin; Joel Ahnvik; [2022]
    Keywords : Option; Monte Carlo *; Least-square *; Black-Scholes; Merton; Heston; Bates; Mathematics and Statistics;

    Abstract : On the financial markets, there are a large number of financial instruments. Two of these instruments is the European and Bermudan option, where the Bermudan option can be seen as a discrete version of the American option. Meaning, if one can price the Bermudan option one can also estimate the price of an American option. READ MORE

  5. 4. Index price volatility during ban periods: The case of KOSPI200 : A quantitative study on the effectiveness of short-selling bans on index price volatility in the South Korean stock market

    University essay from Jönköping University/IHH, Nationalekonomi

    Author : Jesper Ervell; Gabriel Flores; [2021]
    Keywords : ;

    Abstract : Short-selling allows investors to profit from asset declines. In the events of market uncertainty, short sellers are frequently accused of abusing the increasingly volatile market by betting on declining stock prices. READ MORE

  6. 5. Biodiversity, Ecosystem Services and the Banking Industry - Exploring the Scale of Interdependency and Potential Risks

    University essay from Lunds universitet/Internationella miljöinstitutet

    Author : Jan-Niklas Heintze; [2021]
    Keywords : BES; Ecosystem Services; Biodiversity loss; Banks; Risk assessment; Equity portfolio; Business and Economics;

    Abstract : Biodiversity loss and ecosystem service (BES) degradation are translating into different risks for financial institutions which are not accounted for in a sufficient and adequate manner. Being a topic outside its core expertise and foci, the financial sector is lacking assessment methodologies for BES risks. READ MORE