Essays about: "target volatility"

Showing result 11 - 15 of 18 essays containing the words target volatility.

  1. 11. Risk-Managed Momentum Strategy Using Support Vector Machines

    University essay from Handelshögskolan i Stockholm/Institutionen för nationalekonomi

    Author : Patrick Schneeberger; [2018]
    Keywords : Financial Market; Investment Decisions; Momentum Strategy; Support Vector Machines;

    Abstract : Investment decisions are difficult to make, given the uncertainty about the future. For the purpose of reducing that uncertainty, I investigate, for one, how the consumer price index and the return on the 3-month US Treasury bill can be used by support vector machines to make monthly directional trend predictions of a value-weighted portfolio of stocks traded at AMEX, NYSE and NASDAQ. READ MORE

  3. 12. The effect of monetary policy on active investments

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Alexander Berglund; [2018]
    Keywords : Monetary Policy; Stock Prediction; Hedge Funds; Alpha; Cross-Asset;

    Abstract : This paper examines the effects of U.S. monetary policy announcements in the aftermath of the subprime crisis on financial analysts' ability to predict stock prices. We study such effects, if any, using Bloomberg data on equity analyst 12-month target prices and subsequent realized stock prices. READ MORE

  4. 13. Carbon emission reduction targets for project-focused construction companies : A case study of the Skanska group

    University essay from KTH/Industriell ekologi

    Author : Rudolf Schlotter; [2015]
    Keywords : ;

    Abstract : The construction industry is responsible for about one third of the annual global GHG emissions and its products carry significant lock-in risks: infrastructure and structures built today will contribute to anthropogenic GHG emissions for the next decades. Due to operational diversity, structural complexity, and the emission fluctuations associated with project-based work, construction companies struggle, however, with defining relevant carbon reduction targets. READ MORE

  5. 14. Position sizing methods for a trend following CTA

    University essay from KTH/Industriell ekonomi och organisation (Inst.)

    Author : Henrik Sandberg; Rasmus Öhman; [2014]
    Keywords : CTA; managed futures; trend following; position sizing; target volatility; omega optimization.;

    Abstract : This study examines whether a trend following managed futures fund can improve its performance by changing its position sizing method. Trades for a simple trend following strategy was simulated on 47 futures contracts over the period 1990-2012, using varying methods for determining position size. READ MORE

  6. 15. Pricing a basket option when volatility is capped using affinejump-diffusion models

    University essay from KTH/Matematisk statistik

    Author : Daniel Krebs; [2013]
    Keywords : Exotic option; basket option; risk management; greeks; affine jumpdiffusions; the Black-Scholes model; the Heston model; Bates model with lognormal jumps; the Bates model with log-asymmetric double exponential jumps; the Stochastic-Volatility-Simultaneous-Jumps SVSJ -model; the Sepp-model;

    Abstract : This thesis considers the price and characteristics of an exotic option called the Volatility-Cap-Target-Level(VCTL) option. The payoff function is a simple European option style but the underlying value is a dynamic portfolio which is comprised of two components: A risky asset and a non-risky asset. READ MORE