Essays about: "dynamic portfolios"

Showing result 21 - 25 of 27 essays containing the words dynamic portfolios.

  1. 21. The properties of interest rate swaps : An investigation of the price setting of illiquid interest rates swaps and the perfect hedging portfolios

    University essay from KTH/Matematisk statistik

    Author : Max Lindquist; [2012]
    Keywords : ;

    Abstract : The main purpose of this thesis is to analyze the properties of various types of simple interest rates swaps, investigate how they depend on the swap rates of the liquid instruments on the market and the OIS-rates, and analyze how an illiquid instrument should be priced and hedged. The price setting tool used by the Fixed Income division at SEB Merchant Banking has been analyzed, and simulations of the hedging portfolios have been done over a time span of one year. READ MORE

  3. 22. Exploring the Momentum Strategy

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Emil Sandstedt; Alexander Wojt; [2011]
    Keywords : Momentum; Trading Strategy; Contrarian behavior;

    Abstract : During different periods in history, buying past winners and selling past losers have proven a profitable strategy when applied to portfolios consisting of stocks. Naturally, if such an opportunity exists it should after a while disappear as arbitrageurs profit. READ MORE

  4. 23. Portfolio Pricing with Measures of Conditional Skewness and Kurtosis

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Natalia Lelis; [2011]
    Keywords : Asset Pricing; CAPM; Time-varying Moments; Conditional Skewness; Conditional Kurtosis; Business and Economics;

    Abstract : On the ground of a highly dynamic economic environment, the necessity for time-varying risk measures emerged. Inclusion of higher-order conditional moments in asset pricing models is a very common topic in recent research articles. READ MORE

  5. 24. Modern Portfolio Trading with Commodities

    University essay from Akademin för hållbar samhälls- och teknikutveckling

    Author : Rahul Duggal; Tawfiq Shams; [2010]
    Keywords : Modern portfolio theory; Commodities; Mean-variance optimization; MATLAB;

    Abstract : There is a big interest for alternative investment strategies than investing in traditional asset classes. Commodities are having a boom dynamic with increasing prices. This thesis is therefore based on applying Modern Portfolio Theory concept to this alternative asset class. READ MORE

  6. 25. Asset Management of the Foundations of the City of Göteborg

    University essay from Göteborgs universitet/Graduate Business School

    Author : Krasimira Kirova; Anna Olby Aronsson; Changli Yang; [2007-07-19T16:38:26Z]
    Keywords : asset management; asset allocation; investment policy; portfolio construction;

    Abstract : The investment policy is the primary step in portfolio management because it sets the future investment guidelines. A lot of research has focused on the relative importance of the major investment decisions - target asset allocation, market timing and security selection, and their contribution to portfolio performance. READ MORE