Essays about: "characteristics fund risk"

Showing result 16 - 20 of 33 essays containing the words characteristics fund risk.

1. 16. Do they always hedge? Applications of quantile regressions to risk measurement across hedge fund strategies

   University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Author : Gustaf Sävendahl; Oleg Pavlovskyy; [2017]
   Keywords : hedge funds; investment strategies; quantile regressions; factor exposures; risk;

   Abstract : Extending previous work on quantile regression analysis of hedge fund returns, this thesis explores risk factor exposures across performance quantiles of 22 hedge fund strategies from 1994 to 2016. Specific characteristics of hedge funds are taken into consideration. READ MORE

3. 17. HEDGE FUND PERFORMANCE IN SWEDEN - A Comparative Study Between Swedish and European Hedge Funds.

   University essay from Göteborgs universitet/Institutionen för nationalekonomi med statistik

   Author : Agnes Malmcrona; Julia Pohjanen; [2016-01-22]
   Keywords : ;

   Abstract : The purpose of this thesis is to investigate the performance of Swedish hedge funds in relation to European hedge funds. Different strategies and characteristics will be analysed in order to enable the comparison. Quantitative data has been extracted to calculate risk and return measurements as well as to conduct multiple regressions. READ MORE

4. 18. Relationship between currency carry trade and DAX & DJIA

   University essay from Umeå universitet/Företagsekonomi

   Author : Ioanna Nikoli; Md Mosharof Hossain; [2015]
   Keywords : Business Administration; Currency carry; DAX; DJIA; EGARCH [1; 1]; Finance; Granger; Ioanna; Mosharof; VAR; Umeå;

   Abstract : Abstract:   The last decade currency carry trade has gained a lot of popularity because of their apparent profitability. It is a strategy that has been developed to exploit violations of the Uncovered Interest Rate Parity. READ MORE

5. 19. 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

6. 20. Swedish Investment Companies and Behavioral Determinants of the Relative Valuation to NAV

   University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Author : Mattias Svensson; Olle Boström; [2015]
   Keywords : Swedish investment companies; Closed-end fund discount; Noise traders; Behavioral finance;

   Abstract : The discount to Net Asset Value (NAV) in Swedish investment companies is a phenomenon that has been present for decades. This study aims to explain part of the discount valuation without taking firm-specific characteristics into consideration. Instead, we use several regression models where only market-wide behavioral arguments are used. READ MORE