Essays about: "index replication"

Showing result 1 - 5 of 13 essays containing the words index replication.

  1. 1. Index replication within Corporate Investment Grade - With implementation of Lasso regression in order to analyze the impact of key figures

    University essay from KTH/Matematik (Avd.)

    Author : Shaida Faiqi; [2021]
    Keywords : Lasso Regression; Linear Programming; Index Tracking; Lasso regression; linjär programmering; index replikering;

    Abstract : The fixed income market is not as exploited as other markets and has a more complex structure compared with the equity market. On the other hand, it has been seen that demand for research for the fixed income market has increased, which in turn has created greater interest in studying the characteristics of holdings in the market. READ MORE

  3. 2. Sustainable Investment Strategies : A Quantitative Evaluation of Sustainable Investment Strategies For Index Funds

    University essay from Umeå universitet/Institutionen för matematik och matematisk statistik

    Author : John Erikmats; Johan Sjösten; [2019]
    Keywords : ESG; CSR; investment strategies; sustainable investment strategies; sustainability; sustainable investments; sustainable finance; index funds; tracking-error; tracking-error minimization; ESG; CSR; investeringsstrategier; hållbara investeringsstrategier; hållbarhet; hållbara investeringar; hållbar finans; indexfonder; tracking-error; minimering av tracking-error;

    Abstract : Modern society is faced with the complex and intractable challenge of global warming, along with other environmental issues that could potentially alter our way of life if not managed properly. Is it possible that financial markets and equity investors could have a huge part to play in the transformation towards a greener and more sustainable world? Previous studies about investment strategies regarding sustainability have for the most part been centered around possibly less objective ESG-scores or around carbon and GHG-emissions only, with little or no consideration for water usage and waste management. READ MORE

  4. 3. ETHICAL INVESTMENTS : The cost of a clean conscience oropportunity to change the world?

    University essay from Umeå universitet/Nationalekonomi

    Author : Anders Nordbrandt; [2018]
    Keywords : ;

    Abstract : Problem background: Swedish savings in mutual funds have increased by 53 times in 30 years, to a total of 3 837 billion kronor, where of a large share is through the Swedish pension system. A growing share of this capitalis invested in socially responsible investment products, where a popular approach is to use a negative screening to exclude companies based on ethical values. READ MORE

  5. 4. Modeling of drug effect in general closed-loop anesthesia

    University essay from Uppsala universitet/Institutionen för informationsteknologi

    Author : Sander Cox; [2017]
    Keywords : ;

    Abstract : In medicine, anesthesia is achieved by administering two interacting drugs. Nowadays,the Depth of Anesthesia can be expressed by the Bispectral Index Scale, which ismeasured by an EEG. READ MORE

  6. 5. A Swedish Model-Free Implied Volatility Index constructed from OMXS30 options

    University essay from Göteborgs universitet/Graduate School

    Author : Eric Öström; [2016-05-23]
    Keywords : ;

    Abstract : In this paper I construct a model-free implied volatility index, SVIX, from OMXS30 options based on a variance replication technique, independent of any option pricing model. The SVIX index exhibits several stylized properties of volatility indices such as long memory components, mean reversion and volatility clustering. READ MORE