Essays about: "risk return profile"

Showing result 16 - 20 of 26 essays containing the words risk return profile.

  1. 16. Portfolio Protection Strategies: A study on the protective put and its extensions

    University essay from KTH/Matematisk statistik

    Author : Gustav Alpsten; Sercan Samanci; [2018]
    Keywords : ;

    Abstract : The need among investors to manage volatility has made itself painfully clear over the past century, particularly during sudden crashes and prolonged drawdowns in the global equity markets. This has given rise to a liquid portfolio insurance market in the form of options, as well as attracted the attention of many researchers. READ MORE

  3. 17. Investment in Value: A Copula Approach

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Gustaf Soldan Patrikson; Victor Andrée; [2016]
    Keywords : factor investing; copula; tail dependence; diversification;

    Abstract : We evaluate how factor equity strategies are optimally combined, focusing on the role of the value factor (HML) against the background of a recent academic discussion about its potential redundancy, and the discovery of the investment (CMA) and profitability (RMW) factors. The analysis is centered around a conditional joint return distribution from a dynamic copula model, which allows for simulation with a time-varying and non-normal dependence structure. READ MORE

  4. 18. Development of an automatic autonomous sensor carrier for sound profile measurement in deep sea

    University essay from KTH/Marina system

    Author : Niklas Möller; [2016]
    Keywords : ;

    Abstract : This Master Thesis main purpose was to answer the question "Can you measure or calculate the velocity sound profile while performing a bathrymetric survey in an offshore environment like the North Sea, without any interaction nor modification of the existing equipment?".This, since today underwater surveys are a complex and expensive operation to perform where you either are mapping the sea floor or on a searching mission for a sunken wrecks. READ MORE

  5. 19. On Climate Change and Its Impact on Extreme Rainfall in Bangladesh

    University essay from Lunds universitet/Matematisk statistik

    Author : Nasrin Sultana; [2015]
    Keywords : Key words: generalized extreme value distribution; generalized Pareto distribution; return level; bivariate extreme value distribution; bivariate generalized Pareto distribution; climate change; dependence.; Mathematics and Statistics;

    Abstract : In recent years extreme value distributions have attracted a fair amount of attention in literature for risk assessment based on climate data. This thesis focuses on modeling a series of rainfall data over 58 years in the period 1954-2012 recorded at five different stations in Bangladesh. READ MORE

  6. 20. A risk- and performance study of financial structured products

    University essay from Umeå universitet/Institutionen för matematik och matematisk statistik

    Author : Carl-Fredrik Liedholm; Johan Rahm; [2015]
    Keywords : structured products;

    Abstract : We product test the structured financial products offered in Mangold Fondkommission AB’s issue nr. 7, according to guidelines set up by the European Securities and Market Authority. The constructed model is a real world economic scenario generator (ESG) that forecasts future performance of the assets that underlies each product. READ MORE