Essays about: "tactical asset allocation"

Found 5 essays containing the words tactical asset allocation.

1. 1. Quantitative tactical asset allocation: Using the VIX to exploit bull and bear market movements in a Mean-Variance portfolio

   University essay from Göteborgs universitet/Graduate School

   Author : Christian Persson; Robin Williams; [2020-07-08]
   Keywords : VIX; strategy; mean-variance; simple moving average; volatility; transaction costs; bull market; bear market;

   Abstract : The Chicago Board Options Exchange (CBOE) Volatility Index (VIX) is known as being an indicator of fear, often referred to as the fear index. Low volatility indicates tranquility in the market, whereas high volatility indicates distress. READ MORE

3. 2. Optimizing the Nuclear Waste Fund's Profit

   University essay from Stockholms universitet/Företagsekonomiska institutionen

   Author : Zakaria Kazi-tani; André Ramirez Alvarez; [2018]
   Keywords : Nuclear Waste Fund; optimization; the Markowitz portfolio theory; strategic asset allocation; tactical asset allocation; polynomial regression; bonds; disposal; Kärnavfallsfonden; nuclear waste; the Legal; Financial and Administrative Services Agency; MATLAB;

   Abstract : The Nuclear Waste Fund constitutes a financial system that finances future costs of the management of spent nuclear fuel as well as decommissioning of nuclear power plants. The fund invests its capital under strict rules which are stipulated in the investment policy established by the board. READ MORE

4. 3. Commodity Futures Investing from a Swedish Pension Fund Perspective

   University essay from Göteborgs universitet/Graduate School

   Author : Linn Nilsson; Tilda Wikström; [2016-10-07]
   Keywords : commodity futures; pension funds; AP-funds; portfolio efficiency; intersection-test; mean-variance spanning test; DCC GARCH;

   Abstract : Our study examines if the Swedish General Pension funds (AP-funds) could benefit from investing in commodity futures derivatives, which they are currently prohibited from. The effect of adding commodity futures to the holdings of the AP-funds is examined during the period 2001 to 2015, with extended analyses on accumulated bull and bear periods. READ MORE

5. 4. Multivariate Financial Time Series and Volatility Models with Applications to Tactical Asset Allocation

   University essay from KTH/Matematisk statistik

   Author : Markus Andersson; [2015]
   Keywords : Multivariate Financial Time Series; Multivariate Volatility Models; Modern Portfolio Theory MPT ; Tactical Asset Allocation TAA ; Multivariata finansiella tidsserier; Multivariata volatilitets modeller; Modern portföljteori MPT ; Taktisk tillgångsallokering TAA ;

   Abstract : The financial markets have a complex structure and the modelling techniques have recently been more and more complicated. So for a portfolio manager it is very important to find better and more sophisticated modelling techniques especially after the 2007-2008 banking crisis. READ MORE

6. 5. Strategic and tactical asset allocation - is it really used?

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Johanna Gustafsson; [2014]
   Keywords : Strategic asset allocation; tactical asset allocation; asset allocation; investment strategies; balanced funds.; Business and Economics;

   Abstract : The purpose with this thesis is to examine if strategic and tactical asset allocation are used within Swedish balanced funds and to outline how these investment strategies are used, by identifying trends. Compiled data over the asset allocation within Swedish balanced funds 12 years back has been analyzed by defining strategic and tactical asset allocation in quantitative terms. READ MORE