Essays about: "optimal hedge ratio"

Showing result 1 - 5 of 10 essays containing the words optimal hedge ratio.

  1. 1. Optimal Portfolio Allocation of Commodities for the Swedish Investor

    University essay from

    Author : Sebastian Henfalk; Alexandra Wesley; [2021-08-17]
    Keywords : Optimal Portfolio Allocation into Commodities; OMXS30GI; Bloomberg Commodity Index BCOM ; Sub-Sectors; Sharpe Ratio; Swedish Investor; Financialization; Diversification; Hedge; Precious Metals; Inflation; Råvaror; Optimal Allokering; Ädelmetaller;

    Abstract : Commodities have historically been seen as great diversifiers to stocks and bonds. Following the financialization in late 1990s and early 2000s this began to be questioned by previous research due to increasing correlations with the stock market, which has created a need for further research with in the field. READ MORE

  3. 2. DOES BITCOIN MAKE SWEDES SHARP(E)? An empirical study of the effect on riskadjusted return when including Bitcoin in the average Swedish investor´s portfolio

    University essay from

    Author : Sandra Hernvall; Kent Oskar Härnestav; [2018-07-05]
    Keywords : Bitcoin; Cryptocurrency; Portfolio Optimization; Hedge; Safe Haven; Diversification; Sharpe Ratio;

    Abstract : Globalization causes domestic markets to become increasingly correlated, making it harder for investors to find instruments for diversification. Bitcoin is a cryptocurrency that has shown spectacular returns and drawn great attention during the past two years. READ MORE

  4. 3. Swedish Equity Sectors Risk Management with Commodities : Revisiting dynamic conditional correlations and hedge ratios

    University essay from Linköpings universitet/Nationalekonomi

    Author : Daniel Engström; Niklas Gustafsson; [2017]
    Keywords : Hedging; hedge; commodities; futures; hedge ratio; conditional correlation; DCC; GO-GARCH; DCC-GARCH; GARCH; Dynamic conditional correlation; oil; GSCI; copper; gold; safe haven; optimal hedge ratio; finance; economics; markets; risk; risk management; hedge effectiveness; Risk; riskhantering; råvaror; terminer; futures; hedging; hedge; GARCH;

    Abstract : The purpose of this study is to investigate changes in dynamic conditional correlations between Swedish equity sector indices and commodities using oil, gold, copper and a general commodity index. Additionally the purpose is to evaluate which of the two methods, DCC- GARCH or GO-GARCH that is more efficient in estimating correlation for hedge ratio calculation. READ MORE

  5. 4. The Role of Gold in an Investment Portfolio : An empirical study on diversification benefits of gold from the perspective of Swedish investors

    University essay from Umeå universitet/Företagsekonomi

    Author : Nelly Fernando; [2017]
    Keywords : Gold; Investment Portfolio;

    Abstract : Human interaction with gold can be traced far back in history, and throughout history, the metal has been both worshipped and fought for. People almost intuitively place a high value on this yellow metal and gold has always had a special place in the human heart. READ MORE

  6. 5. Optimal prissäkringsandel : en jämförelse mellan maltkorn och foderkorn

    University essay from SLU/Dept. of Economics

    Author : Anton Karlsson; Christoffer Nessvi; [2016]
    Keywords : Optimal prissäkringsandel; maltkorn; foderkorn; prissäkring;

    Abstract : Spannmålsmarknaden blir allt mer volatil, vilket innebär att riskexponeringen inom lantbrukssektorn ökar. För att minska prissfluktuationerna blir det allt mer aktuellt för lantbrukare att prissäkra sina råvaror och därmed minska riskexponeringen. READ MORE