Essays about: "thesis on risk and return in hedge funds"

Showing result 1 - 5 of 13 essays containing the words thesis on risk and return in hedge funds.

1. 1. A valuation of Swedish hedge fund performance

   University essay from Göteborgs universitet/Institutionen för nationalekonomi med statistik

   Author : Elis Grönqvist; Johan Wennerström; [2023-02-09]
   Keywords : ;

   Abstract : In this thesis we present annual returns of Swedish hedge funds sorted by investment strategies and investigate which strategy performs best and how the Fama-French factors: market premium, value premium and growth premium affect these returns. The Fama-French three-factor model is built on the Capital Asset Pricing Model which tries to describe the relationship between the expected return of an asset and the risk of the asset compared to the market. READ MORE

3. 2. Predictive Modeling and Statistical Inference for CTA returns : A Hidden Markov Approach with Sparse Logistic Regression

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

   Author : Oskar Fransson; [2023]
   Keywords : Probability theory; Statistical inference; finance; CTA; managed futures; machine learning; statistical learning; stochastic process; sparse logistic regression; Markov Chain Monte Carlo; Hidden Markov model;

   Abstract : This thesis focuses on predicting trends in Commodity Trading Advisors (CTAs), also known as trend-following hedge funds. The paper applies a Hidden Markov Model (HMM) for classifying trends. Additionally, by incorporating additional features, a regularized logistic regression model is used to enhance prediction capability. READ MORE

4. 3. Hedging Foreign Exchange Exposure in Private Equity Using Financial Derivatives

   University essay from KTH/Matematisk statistik

   Author : Filip Kwetczer; Carl Åkerlind; [2018]
   Keywords : Private Equity; Foreign Exchange Exposure; Hedging; Black-Scholes Model; Financial Derivatives; Private Equity; Valutaexponering; Hedging; Black-Scholes Modell; Finansiella Derivat;

   Abstract : This thesis sets out to examine if and how private equity funds should hedge foreign exchange exposure. To our knowledge the field of foreign exchange hedging within private equity, from the private equity firms’ point of view, is vastly unexplored scientifically. READ MORE

5. 4. Asset allocation under Solvency II : Adjusting investments for capital efficiency

   University essay from KTH/Entreprenörskap och Innovation

   Author : ERIK HELLGREN; FREDRIK UGGLA; [2015]
   Keywords : Solvency II; capital requirements; life insurance; market risk; portfolio; Solvens II; kapitalkrav; livförsäkring; marknadsrisk; portföljoptimering;

   Abstract : Solvens II är ett nytt regelverk för försäkringsbolag inom EU som ska träda i kraft 2016. Tidigare forskning har diskuterat effekterna av det nya regelverket och förutspår att det kommer att påverka försäkringsbolagens tillgångsallokering. READ MORE

6. 5. Investment strategies and their performance - Do Hedge and Quant funds, as well as funds using Fundamental analysis, have different risk adjusted returns - and can any of them beat the market?

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Bobby Larsson; [2014]
   Keywords : Hedge fund; Fundamental fund; Quant fund; strategy; value; Business and Economics;

   Abstract : This thesis investigates the performance of Hedge and Quant funds, as well as funds with a Fundamental approach (here called Value funds). The funds are also compared with a world index. Weekly data over a two year period (2011-2013), from about 25 funds out of every class, is used. READ MORE