Essays about: "mathematics of investment"

Showing result 16 - 20 of 32 essays containing the words mathematics of investment.

1. 16. Nowcasting with Dynamic Factor Model and Real-Time Vintage Data: A financial market actor's perspective

   University essay from Lunds universitet/Matematisk statistik

   Author : Filip Östlund; Marcel Attar; [2020]
   Keywords : Nowcasting; Macroeconomic Prediction; Dynamic Factor Model; DFM; Pseudo Real-Time Vintage data; U.S. GDP Growth Rate; Financial Market Actor; Mathematics and Statistics;

   Abstract : We develop and examine a dynamic factor nowcasting model (DFM) from the perspective of a financial market participant. The first point of analysis is the examination of its performance. Unlike other papers, we evaluate with daily frequency so that the performance metric reflects a continuous nowcasting signal. READ MORE

3. 17. Valuation of Additional Tier-1 Contingent Convertible Bonds (AT1 CoCo) : Accounting for Extension Risk

   University essay from KTH/Matematisk statistik

   Author : Karl Larsson; [2020]
   Keywords : Extension Risk; AT1; CoCo; Contingent Convertible; Bonds; Valuation; Financial Mathematics; Hybrid Capital; Förlängningsrisk; AT1; CoCo; Contingent Convertible; Obligationer; Värdering; Finansiell matematik; Hybridkapital;

   Abstract : The investment and financing instrument AT1, or Contingent Convertible bond, has become popular in the post-crisis capital markets, prompting interest and research in the academic world. The instrument's debt definition but equity boosting properties makes it rather extraordinary, and its stochastic features makes multiple mathematical valuation methodologies relevant, especially with regard to the risk of extending the call date of the instrument. READ MORE

4. 18. Covariance Matrix Regularization for Portfolio Selection: Achieving Desired Risk

   University essay from Lunds universitet/Matematisk statistik

   Author : Manu Upadhyaya; [2020]
   Keywords : covariance matrix; portfolio selection; risk; Mathematics and Statistics;

   Abstract : The modus operandi of most asset managers is to promise clients an annual risk target, where risk is measured by realized standard deviation of portfolio returns. Moreover, Markowitz (1952) portfolio selection requires an estimate of the covariance matrix of the returns of the financial instruments under consideration. READ MORE

5. 19. Modeling of non-maturing deposits

   University essay from KTH/Matematisk statistik

   Author : Fredrik Stavrén; Nikita Domin; [2019]
   Keywords : Financial mathematics; time series analysis; replicating portfolio; risk management; risk analysis; econometric anaylsis; non-maturing deposits; SARIMA; Random forest regression; EBA; BCBS; Finansiell matematik; tidsserieanalys; replikeringsportfölj; riskhantering; riskanalys; Ekonometrisk analys; Icke-tidsbunden inlåning; ARIMA; SARIMA; SARIMAX; Random Forest Regression; EBA; BCBS;

   Abstract : The interest in modeling non-maturing deposits has skyrocketed ever since thefinancial crisis 2008. Not only from a regulatory and legislative perspective,but also from an investment and funding perspective.Modeling of non-maturing deposits is a very broad subject. READ MORE

6. 20. ROI Calculation on Online Controlled Experiment

   University essay from Lunds universitet/Matematisk statistik

   Author : Richard Wang; [2019]
   Keywords : A B testing; Online Controlled Experiments; Return on Investment; ROI; Mathematics and Statistics;

   Abstract : As online services such as e-commerce and mobile applications keeps growing, the need of optimizing the user experience does as well. By conducting Online Controlled Experiments, companies can get an insight to which features, design choices and implementations that users enjoy the most. READ MORE