Essays about: "rolling hedge"

Found 4 essays containing the words rolling hedge.

1. 1. Bitcoin: The New Digital Gold?

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Kathery Angelica Razo Mendoza; [2018]
   Keywords : Bitcoin; Gold; Digital Gold; Minimum Variance Portfolio; Tangency Portfolio; In-sample and out-sample portfolios.; Business and Economics;

   Abstract : Bitcoin has become a mainstream in the financial world. It has several similarities with Gold as low correlation with stocks, inflation hedge, government decentralization and the no currency attachment. Therefore, the name of the new “Digital Gold”. This study compares Gold and Bitcoin, offered as an alternatives financial assets. READ MORE

3. 2. 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

4. 3. Efficient hedging in an illiquid market

   University essay from SLU/Dept. of Energy and Technology

   Author : Erik Kalin; [2011]
   Keywords : risk premium; risk premia; electricity forward; rolling hedge;

   Abstract : Vattenfall hedge its future electricity production in order to decrease fluctuations in theresult. Hedging can in a simplified way be described as selling the future electricity deliveriesin long-term contracts so that the future price of the delivery becomes fixed. READ MORE

5. 4. A Value Relevant Fundamental Investment Strategy : The use of weighted fundamental signals to improve predictability

   University essay from Företagsekonomiska institutionen

   Author : Martin Eliasson; Khawar Malik; Benjamin Österlund; [2011]
   Keywords : Fundamental analysis; Financial statement analysis; Financial analysis; High book-to-market; quantitative analysis; statistical regression study; investment strategy; longitudinal study; NYSE; New York Stock Exchange; Nasdaq; Piotroski; Rados and Lovric; wieghted and modified Piotroski F_score; F_score; B M investment strategy; fundamental signals correlation; return correlation; rolling window investment strategy; Correlations during macroeconomic up and down periods; historical performance of fundamental signals; Piotroski s F_score; fundamental signals; Fundamental analys; en hög book-to-market investeringsstrategi; finansiell analys; Piotroski; Piotroskis F_score; Rados och Lovric; modifierat F_score; undervärderade företag; Användningen av viktade fundamentala signaler för att förbättra förutsägbarheten; fundamentala signaler;

   Abstract : The aim of this study is to investigate the possibility to improve the investment model defined in Piotroski (2000) and the subsequent research carried out on this model. Our model builds further upon the original fundamental score put forth by Piotroski. READ MORE