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Showing result 1 - 5 of 35 essays matching the above criteria.

  1. 1. An Introduction to Premium Setting of Life Insurance Annuities

    University essay from Stockholms universitet/Matematiska institutionen

    Author : Viktor C. E. Ellerud; Leo G. Levenius; [2023]
    Keywords : Life insurance; annuity; premium setting; pension scheme;

    Abstract : 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

  3. 2. Empirical investigation on the performance of a feed-forward artificial neural network on the Nordic stock markets

    University essay from Göteborgs universitet/Graduate School

    Author : Niklas Fjordstrand; Nikolaos Voutos; [2022-06-29]
    Keywords : ;

    Abstract : 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

  4. 3. Frog in the Factor Pan: Continuous information in factor momentum

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Darius Saftoiu; Jinyoung Lee; [2022]
    Keywords : Momentum; Factor momentum; Frog-in-the-pan hypothesis; Limited attention; Continuous information;

    Abstract : 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

  5. 4. Principal Component Analysis and the Cross-Sectional Variation of Returns

    University essay from

    Author : Armin Ramovic; Mikael Åkerman; [2021-06-23]
    Keywords : Principal Component Analysis; PCA; principal components; cross-sectional variation of returns; risk premia; asset pricing; demensionality reduction; risk factors; machine learning;

    Abstract : 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

  6. 5. Illiquidity and Its Threats - A Study of the U.S. Corporate Bond Market

    University essay from Lunds universitet/Matematisk statistik

    Author : Adam Löfquist; Erik Ottosson; [2021]
    Keywords : Liquidity; price dispersion; Hui-Heubel liquidity ratio; ILLIQ; TRACE; U.S. corporate bonds; Over-the-Counter market; regression analysis; return modelling; stressed market conditions.; Mathematics and Statistics;

    Abstract : 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