Essays about: "risk premia"
Showing result 1 - 5 of 35 essays containing the words risk premia.
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1. An Introduction to Premium Setting of Life Insurance Annuities
University essay from Stockholms universitet/Matematiska institutionenAbstract : This paper aims to introduce the reader to the premium setting of annuities within life insurance. This is done using a hypothetical annuity contract offered to 36-year-olds in Sweden. The contract provides an annual pension from age 65 until either the individual's death or age 90, after which payouts cease. READ MORE
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2. Empirical investigation on the performance of a feed-forward artificial neural network on the Nordic stock markets
University essay from Göteborgs universitet/Graduate SchoolAbstract : In this paper, the authors have made an empirical investigation on the performance of a feed-forward artificial neural network (ANN) on the four main Nordic stock markets, Sweden, Norway, Denmark, and Finland. First, a benchmark OLS regression model is compared against an ANN model to see which model performs best in terms of predictive accuracy and has the least amount of error. READ MORE
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3. Frog in the Factor Pan: Continuous information in factor momentum
University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiAbstract : Since stock momentum stems from momentum within common risk factors, as shown through recent studies, we test whether Da et al. (2014)'s frog-in-the-pan hypothesis of limited attention is able to explain the persistence of the momentum within factor risk premia. READ MORE
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4. Principal Component Analysis and the Cross-Sectional Variation of Returns
University essay fromAbstract : We utilize Principal Component Analysis (PCA), a dimensionality reduction technique, on a set of 142 risk factors, including macroeconomic factors, proposed in financial literature to construct factor models with high explanatory powers when analysing the cross-sectional variation of portfolio returns. We apply a Fama and Macbeth (1973) two-pass regression to estimate risk premia commanded by our principal components. READ MORE
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5. Illiquidity and Its Threats - A Study of the U.S. Corporate Bond Market
University essay from Lunds universitet/Matematisk statistikAbstract : In recent times of market turmoil, liquidity risk has become a big talking point. As certain Swedish fixed income funds, which were advertised as safe investment options, closed for a few trading days in March of 2020 due to the extremely high stress on the market, questions about how illiquidity a↵ects risk and return were asked. READ MORE