Blar i BI Open på emneord "quantitative finance"
Viser treff 1-9 av 9
-
Enhancing the 60/40 Portfolio: The Value of Commodity Futures
(Master thesis, 2023)We modify the 60/40 portfolio to include commodity futures, utilizing 146 years of monthlydata from 1877, seeking to improve the traditional 60/40 portfolio in the long run. Employing a full-scale optimization in a strategic ... -
Forecasting Realized Volatility with Earnings Announcements and Overnight Returns
(Master thesis, 2023)In our study, we forecast realized volatility utilizing a large panel of stocks from the S&P 500, with the inclusion of overnight returns and earnings announcements. Our comparative analysis employs both the heterogeneous ... -
How bond risk affects risk parity portfolios
(Master thesis, 2020)We document the performance of risk parity portfolios (RPP) of U.S. equities and government bonds over more than fty years of daily and monthly data. RPP's strong outperformance compared to 60/40 portfolios has to some ... -
The Influence of Yield Curve Factors on the Conditional Distribution of Equity Risk Premia
(Master thesis, 2023)This paper examines the efficacy of how certain yield curve factors, namely the level, slope, and curvature, can predict the shape of cumulative return distributions in equity markets. We utilise the GAMLSS framework to ... -
Introducing Subjective Logic in Portfolio Management
(Master thesis, 2022)In this research, we attempt to open a new window in finance by presenting and using the subjective logic. Recently, subjective logic, introduced by Prof. Audun Jøsang in UiO, is presented successfully in different fields ... -
Machine Learning: Superior to Traditional Statistical Models in Forecasting Macroeconomic Time-Series?
(Master thesis, 2021)This thesis investigates machine learning's potential to forecast the Norwegian GDP, unemployment rate, and in ation on monthly or quarterly, and annual terms. We compare machine learning techniques such as penalised ... -
Portfolio risk hedging: Currency exposure and Shrinkage techniques
(Master thesis, 2022)We apply different shrinkage techniques to the covariance and concentration matrices used for the minimum variance currency risk hedging of a globally diversified portfolio. The techniques are applied with the aim to induce ... -
Realized Volatility Modeling of S&P 500 Index Members and the Impact of Temporal Variations in the Mean Levels
(Master thesis, 2021)Using a daily panel dataset including almost all the stocks in the S&P 500 dating back to 1985, we document strong similarities in the risk dynamics across stocks. The similarities in risk dynamics are exploited by ... -
Theoretical and empirical analysis of volatility selling strategies
(Master thesis, 2021)Investing in the nancial markets bears various types of risks. One of the common risks that most practitioners always seek to hedge against is the risk of abrupt shifts in the price of an asset. One generic tool serving ...