Essays about: "characteristics fund risk"

Showing result 21 - 25 of 33 essays containing the words characteristics fund risk.

1. 21. A Comparison between the Performance of Ehtical and Conventional US Funds - Do different ethical characteristics matter?

   University essay from Göteborgs universitet/Institutionen för nationalekonomi med statistik

   Author : Anna Mattsson; Lina Sandström; [2014-06-17]
   Keywords : performance evaluation; ethical funds; heterogeneity; environmental friendly; ESG; religiously responsible; social responsible; investment styles;

   Abstract : This thesis investigates if there are differences in performance and investment styles between ethical and conventional US funds in the time period January 2004 – January 2014. We study both a pooled ethical portfolio and different ethical subgroups divided based on ethical characteristics and do a comparison with matched conventional portfolios. READ MORE

3. 22. Closing Time Effects on Derivative Pricing and Risk Measurement

   University essay from Lunds universitet/Matematisk statistik

   Author : Andreas Melin; [2014]
   Keywords : Mathematics and Statistics;

   Abstract : Risk measures such as Value at Risk are highly dependent on a sample of daily returns. The daily return can be measured in different intervals and this thesis examines how the choice of the daily return interval affects derivative pricing, risk measures, fund performance and products with collateral agreements. READ MORE

4. 23. Pricing a basket option when volatility is capped using affinejump-diffusion models

   University essay from KTH/Matematisk statistik

   Author : Daniel Krebs; [2013]
   Keywords : Exotic option; basket option; risk management; greeks; affine jumpdiffusions; the Black-Scholes model; the Heston model; Bates model with lognormal jumps; the Bates model with log-asymmetric double exponential jumps; the Stochastic-Volatility-Simultaneous-Jumps SVSJ -model; the Sepp-model;

   Abstract : This thesis considers the price and characteristics of an exotic option called the Volatility-Cap-Target-Level(VCTL) option. The payoff function is a simple European option style but the underlying value is a dynamic portfolio which is comprised of two components: A risky asset and a non-risky asset. READ MORE

5. 24. A case study on the risk-adjusted- financial performance of The Vice Fund : The risk-adjusted-financial performance of this fund will be evaluate through a comparison with an other mutual fund having a different investment strategy and with two benchmarks.

   University essay from Företagsekonomi

   Author : Arthur Bernardin; Camille Dumoussaud; [2013]
   Keywords : fund’s return; Sharpe’s ratio; normalized Sharpe’s ratio; modified Sharpe’s ratio; Treynor’s ratio; Jensen’s ratio; sin fund;

   Abstract : Nowadays, there is a debate about the possibility that sin stocks bring higher returns than other ones to the investors. This thesis is a case study on a mutual fund: The Vice Fund. This US fund has a specific investment strategy: it invests in sin stocks. READ MORE

6. 25. Can Nordic Hedge Fund Returns be Replicated? - A Factor Replication of Nordic Hedge Fund Returns

   University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Author : Julia Eberdal; Johan Hansson; [2012]
   Keywords : Hedge Funds; Factor Replication; Hedge Fund Replication; Clones;

   Abstract : Research on the topic of replicating hedge fund returns has been around for more than a decade and has shown that a substantial portion of hedge fund returns can be attributed to a collection of risk premia of market returns, rather than any superior management skills of hedge fund managers. Focusing on Nordic hedge fund returns, we create replicating portfolios, or clones, to explore the low-cost, transparent, liquid and scalable world of replication. READ MORE