Essays about: "low volatility effect"

Showing result 16 - 20 of 37 essays containing the words low volatility effect.

1. 16. Monte Carlo Simulations of Portfolios Allocated with Structured Products : A method to see the effect on risk and return for long time horizons

   University essay from Umeå universitet/Institutionen för fysik

   Author : Malin Fredriksson; [2018]
   Keywords : Monte Carlo; Finance; Value-at-Risk; Expected Shortfall; Portfolio; Non-linear instruments; Structured Products;

   Abstract : Structured products are complex non-linear financial instruments that make it difficult to calculate their future risk and return. Two categories of structured products are Capital Protected and Participation notes, which are built by bonds and options. READ MORE

3. 17. Portfolio construction based on value and momentum: a winning strategy?

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Andreas Grann; [2017]
   Keywords : Value; momentum; portfolios; stocks; Business and Economics;

   Abstract : This study examines if there are positive effects of constructing portfolios based on value and momentum. Three value portfolios (low, medium, high) and three momentum portfolios are constructed using large cap stocks from the four Nordic Nasdaq OMX exchanges. The portfolios are then re-sorted on an annual basis over the test period 2005-2016. READ MORE

4. 18. The Effect of Idiosyncratic Volatility and the Role of Investors' Sentiment in the Swedish Stock Market

   University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Author : Andrea Ricci; [2017]
   Keywords : Arbitrage risk; Arbitrage asymmetry; Idiosyncratic volatility effect; Swedish stocks; Investors sentiment;

   Abstract : The thesis investigates the presence of arbitrage risk and arbitrage asymmetry, and their relation with investors' sentiment, in the Swedish stock market. By assuming that stocks' idiosyncratic volatility (IVOL) translates into arbitrage risk, the study analyzes the effects of IVOL on subsequent returns for the OMX Stockholm 30 constituents. READ MORE

5. 19. The Uncertainty of Risk - Volatility of Volatility in the Swedish Equity Market

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Ali Khanzadi; Fredrik Elliot; [2016]
   Keywords : Uncertainty; Volatility of Volatility; Aggregate risk factors; ICAPM; Business and Economics;

   Abstract : In addition to market volatility, a stylized theoretical model and recent empirical findings suggests the existence of a premium for market volatility of volatility. By developing seven different measures of volatility of volatility and through the method of principal component analysis, we investigate if this aggregate uncertainty is priced in the Swedish equity market. READ MORE

6. 20. An Empirical Analysis of the Effect of Wind Power on the Level and the Volatility of the Electricity Price in the Nordic-Baltic Market

   University essay from Handelshögskolan i Stockholm/Institutionen för nationalekonomi

   Author : Gustav Fredriksson; [2016]
   Keywords : Wind power; Electricity price; Merit order effect; Price volatility; Nord Pool Spot;

   Abstract : The recent rise in wind power in Europe may have important consequences for electricity markets. This study analyses the effect of the combined volume of Danish and Swedish wind power on the level and the volatility of the system price in the Nordic-Baltic day-ahead wholesale electricity market. READ MORE