Finance (PO 2017) Finance (PO 2017) Bachelor Seminar. Prof. Dr. Marcel Prokopczuk. Institute for Financial Markets. Winter Term 2018/2019
|
|
- Madlyn Lucas
- 5 years ago
- Views:
Transcription
1 Finance (PO 2017) Bachelor Seminar Prof. Dr. Marcel Prokopczuk Institute for Financial Markets Winter Term 2018/2019 1
2 Requirements Preparation of a seminar paper on one s own or in groups of 2 Scope: 15 resp. 20 pages Independently performed empirical / quantitative analysis Use of appropriate statistics software Pure literature research is not sufficient Presentation of seminar paper in blocked seminar 2
3 Procedure Submission preferences, until Monday, at 11:00 in office (Room 056, Building 1501) , distribution of topics Biding registration, until Friday, until 11:00 in office (Room 056, Building 1501) The working period for the seminar starts Monday, Submission of seminar papers until Thursday, at 11:00 in office (Room 056, Building 1501) The presentations of the seminar papers are expected to be in calendar week 2 or 3 of 2019 ( ) Documents (topic choice, registration form, etc.) and a guide line for writing seminar papers can be found on our homepage: Lehre Downloads 3
4 1) The Volatility Index VIX The CBOE Volatility Index (VIX) is a leading measure of market expectations of short-term volatility conveyed by S&P 500 Index (SPX) option prices. Briefly describe the idea of the VIX and analyze a trading strategy based on the VIX using dependence analyses such as correlation and linear regressions. The CBOE Volatility Index - VIX, White Paper Fernandes, M., Medeiros, M. C., & Scharth, M. (2014). Modeling and predicting the CBOE market volatility index. Journal of Banking & Finance, 40,
5 2) Risk- based Portfolio Selection Summarize different portfolio selection strategies, that take variances into account, in particular the minimum variance portfolio and the risk parity portfolio. Describe shortcomings of those models as well as advantages. Use financial data to construct portfolio formed by those methods and evaluate their performance. Markowitz, H. (1952). Portfolio Selection. Anderson, RM., Bianchi, SW. & Goldberg, LR. (2012). Will my Risk Parity Strategy Outperform? Asness, CS., Frazzini, A. & Pedersen, LH. (2012). Leverage Aversion and Risk Parity. 5
6 3) Risk Management: Value at Risk Describe the concept of Value at Risk (VaR) and different extensions (i.e. CVaR). Describe and apply different estimation methods and evaluate advantages and disadvantges of the estimation methods. Estimate the VaR and other appropriate risk metrics for different assets. Christoffersen, P.F. (2011). Elements of Financial Risk Management. Duffie, D. & Pan, J. (1997). An overview of value at risk. Hendricks, D. (1997). Evaluation of value at risk models using historical data. 6
7 4) Commodity Investment Investigate and describe co-movements between indexed & non-indexed commodities to investigate the degree of financialization of commodities. Use this tool to describe co-movements between other commodity markets and detect potential reasons for that co-movement. Tang, K. & Xiong, W. (2012). Index investment and the financialization of commodities. Le Pen, Y. & Sévi, B. (2017). Futures Trading and the Excess co-movement of Commodity Prices. 7
8 5) Forecast Investment Strategies Several economic organizations publish regularly forecasts (i.e. ZEW) first describe the forecast measures and the method. Evaluate the quality of the forecasts based on established criteria. Additionally compare the forecasts with traditional market implied measures in order to evaluate their value. Create a strategy that is based on economic forecasts and evaluate the performance of the strategy in comparison to the market and different Investment strategies. Gordon, L. & Tanner, J.E. (1991). Economic Forecast Evaluation: Profits vs. the conventional error Measures. Clemen, R.T. & Winkler, R.L. (1986). Combining Economic Forecasts. Journal of Business & Economic Statistics. Stephen, K.McNees (1978). The Rationality of Economic Forecasts. The American Economic Review, 68,
9 6) Market Anomalies Describe and review the weekend, the holiday and the turn of the month effect. Investigate and compare the anomalies in different markets and over different asset classes. Thaler, R.H. (1987). Anomalies: Weekend, Holiday, turn of the month and Intraday Effect. Journal of Economic Perspectives, Vol. 1,
10 7) Futures Markets Examine the literature on the relationship of the futures and the spot market. Empirically investigate for example the relationship between the futures and the spot market, or between volume, volatility and market depth. Bessembinder, H. & Seguin, P. (1993). Price Volatility, Trading Volume and Market Depth: Evidence from Futures Markets. Journal of Financial and Quantitative Analysis, 28, French, K. (1989). Detecting Spot Price Forecasts in Futures Prices. The Journal of Business, 59, Koutmos, G. Tucker, M. (1996). Temporal Relationships and Dynamic Interactions between Spot and Futures Stock Markets. The Journal of Futures Markets, 16,
11 8) Black-Litterman Model The Black-Litterman model allows the investor to integrate his views into the asset allocation descision. Empirically investigate the performance of the Black-Litterman model and compare it to other models. Black, F. and Litterman, R. (1990). Global portfolio optimization. Financial analysts journal, 48, 5, He, G. and Litterman, R. (1999). The intuition behind Black-Litterman model portfolios. 11
12 9) Estimating Beta Vasicek presents in his paper the theory that the classcial OLS regression might not lead to an efficient beta estimate, given the knowledge of the cross-sectional distribution of betas, thus he proposes to use this as prior information. Implement the Bayesian procedure of Vasicek for a set of stocks and compare it to classical sampling-theory estimates. Create an Investment strategy based on the new beta estimate and compare this strategy to classical sampling-theory estimates. Vasicek, O.A. (1973). A Note on Using Cross-Sectional Information in Bayesian Estimation of Security Betas. Journal of Finance, 28, Klemkosky, R.C. and Martin, J.D. (1975). The Adjustment of Beta Forecasts. Journal of Finance, 30,
13 10) Portfolio Insurance Portfolio insurance is a strategy that reduces the losses of a portfolio via hedging strategies. Describe the constant proportion portfolio insurance (CPPI) by Black and Jones (1987) and Perold (1986), that introduces a simple strategy, the investors invests a constant multiple of the cushion in the risky asset up to the borrowing limit. You can analyze this approach in detail or compare it to portfolio insurances based on option replication. Empirically evaluate the properties of the strategy and compare it to other portfolio insurance strategies. Leland, H.E. (1980). Who should buy portfolio insurance? The Journal of Finance, 35, Black, F. and Perold, A. (1992). Theory of constant proportion portfolio insurance. Journal of Economic Dynamics and Control, 16,
Optimal Portfolio Inputs: Various Methods
Optimal Portfolio Inputs: Various Methods Prepared by Kevin Pei for The Fund @ Sprott Abstract: In this document, I will model and back test our portfolio with various proposed models. It goes without
More informationPortfolio Management
Portfolio Management 010-011 1. Consider the following prices (calculated under the assumption of absence of arbitrage) corresponding to three sets of options on the Dow Jones index. Each point of the
More informationTHE UNIVERSITY OF NEW SOUTH WALES SCHOOL OF BANKING AND FINANCE
THE UNIVERSITY OF NEW SOUTH WALES SCHOOL OF BANKING AND FINANCE SESSION 1, 2005 FINS 4774 FINANCIAL DECISION MAKING UNDER UNCERTAINTY Instructor Dr. Pascal Nguyen Office: Quad #3071 Phone: (2) 9385 5773
More informationRisk Based Asset Allocation
Risk Based Asset Allocation June 18, 2013 Wai Lee Chief Investment Officer and Director of Research Quantitative Investment Group Presentation to the 2 nd Annual Inside Indexing Conference Growing Interest
More informationMaster s in Financial Engineering Foundations of Buy-Side Finance: Quantitative Risk and Portfolio Management. > Teaching > Courses
Master s in Financial Engineering Foundations of Buy-Side Finance: Quantitative Risk and Portfolio Management www.symmys.com > Teaching > Courses Spring 2008, Monday 7:10 pm 9:30 pm, Room 303 Attilio Meucci
More informationCapital Markets (FINC 950) DRAFT Syllabus. Prepared by: Phillip A. Braun Version:
Capital Markets (FINC 950) DRAFT Syllabus Prepared by: Phillip A. Braun Version: 6.29.16 Syllabus 2 Capital Markets and Personal Investing This course develops the key concepts necessary to understand
More informationThe Use of Financial Futures as Hedging Vehicles
Journal of Business and Economics, ISSN 2155-7950, USA May 2013, Volume 4, No. 5, pp. 413-418 Academic Star Publishing Company, 2013 http://www.academicstar.us The Use of Financial Futures as Hedging Vehicles
More informationMasterclass on Portfolio Construction and Optimisation
Masterclass on Portfolio Construction and Optimisation 5 Day programme Programme Objectives This Masterclass on Portfolio Construction and Optimisation will equip participants with the skillset required
More informationTHE UNIVERSITY OF NEW SOUTH WALES
THE UNIVERSITY OF NEW SOUTH WALES FINS 5574 FINANCIAL DECISION-MAKING UNDER UNCERTAINTY Instructor Dr. Pascal Nguyen Office: #3071 Email: pascal@unsw.edu.au Consultation hours: Friday 14:00 17:00 Appointments
More informationMSc Behavioural Finance detailed module information
MSc Behavioural Finance detailed module information Example timetable Please note that information regarding modules is subject to change. TERM 1 TERM 2 TERM 3 INDUCTION WEEK EXAM PERIOD Week 1 EXAM PERIOD
More informationPortfolio Management Using Option Data
Portfolio Management Using Option Data Peter Christoffersen Rotman School of Management, University of Toronto, Copenhagen Business School, and CREATES, University of Aarhus 2 nd Lecture on Friday 1 Overview
More informationTopics for Master Theses Prof. Dr. Marcel Prokopczuk, CFA
Topics for Master Theses Prof. Dr. Marcel Prokopczuk, CFA Remarks The following slides are suggestions for potential topics for MSc theses. Students are free to suggest their own topics. If you are interested
More informationAsset Allocation Model with Tail Risk Parity
Proceedings of the Asia Pacific Industrial Engineering & Management Systems Conference 2017 Asset Allocation Model with Tail Risk Parity Hirotaka Kato Graduate School of Science and Technology Keio University,
More informationTuomo Lampinen Silicon Cloud Technologies LLC
Tuomo Lampinen Silicon Cloud Technologies LLC www.portfoliovisualizer.com Background and Motivation Portfolio Visualizer Tools for Investors Overview of tools and related theoretical background Investment
More information18F030. Investment and Portfolio Management 3 ECTS. Introduction. Objectives. Required Background Knowledge. Learning Outcomes
Introduction This course deals with the theory and practice of portfolio management. In the first part, the course approaches the problem of asset allocation with a focus on the challenges of taking the
More informationThe Impact of Institutional Investors on the Monday Seasonal*
Su Han Chan Department of Finance, California State University-Fullerton Wai-Kin Leung Faculty of Business Administration, Chinese University of Hong Kong Ko Wang Department of Finance, California State
More informationEstimating 90-Day Market Volatility with VIX and VXV
Estimating 90-Day Market Volatility with VIX and VXV Larissa J. Adamiec, Corresponding Author, Benedictine University, USA Russell Rhoads, Tabb Group, USA ABSTRACT The CBOE Volatility Index (VIX) has historically
More informationABILITY OF VALUE AT RISK TO ESTIMATE THE RISK: HISTORICAL SIMULATION APPROACH
ABILITY OF VALUE AT RISK TO ESTIMATE THE RISK: HISTORICAL SIMULATION APPROACH Dumitru Cristian Oanea, PhD Candidate, Bucharest University of Economic Studies Abstract: Each time an investor is investing
More informationATTILIO MEUCCI Advanced Risk and Portfolio Management The Only Heavily Quantitative, Omni-Comprehensive, Intensive Buy-Side Bootcamp
ATTILIO MEUCCI Advanced Risk and Portfolio Management The Only Heavily Quantitative, Omni-Comprehensive, Intensive Buy-Side Bootcamp August 16-21, 2010, Baruch College, 55 Lexington Avenue, New York www.baruch.cuny.edu/arpm
More informationStatistical Models and Methods for Financial Markets
Tze Leung Lai/ Haipeng Xing Statistical Models and Methods for Financial Markets B 374756 4Q Springer Preface \ vii Part I Basic Statistical Methods and Financial Applications 1 Linear Regression Models
More informationBlack-Litterman, Exotic Beta, and Varying Efficient Portfolios: An Integrated Approach
Black-Litterman, Exotic Beta, and Varying Efficient Portfolios: An Integrated Approach Ricky Alyn Cooper Illinois Institute of Technology Chicago, IL 565 W Adams Ave Chicago, IL 60661 Email: rcooper3@iit.edu
More informationFutures Trading, Information and Spot Price Volatility of NSE-50 Index Futures Contract
Ref No.: NSE/DEAP/59 November 22, 2001 Futures Trading, Information and Spot Price Volatility of NSE-50 Index Futures Contract Introduction: The advent of stock index futures and options has profoundly
More informationFinance MSc Programmes MSF. The following information is applicable for academic year
MSc Finance The following information is applicable for academic year 2018-19 Programme Structure Week Zero Induction Week TERM 1 Weeks 1-10 IB9X60 IB9Y80 IB9Y70 IB9490 Quantitative Asset Pricing Corporate
More informationTrading on the Size and Value Premia: The case of Dimensional Fund Advisors - HBS Case (2002)
MODULE SPECIFICATION UNDERGRADUATE PROGRAMMES KEY FACTS Module name Asset Management Module code IF2210 School Cass Business School Department or equivalent UG Programme UK credits 15 ECTS 7.5 Level 5
More informationMSc Finance with Behavioural Science detailed module information
MSc Finance with Behavioural Science detailed module information Example timetable Please note that information regarding modules is subject to change. TERM 1 24 September 14 December 2012 TERM 2 7 January
More informationLectures and Seminars in Insurance Mathematics and Related Fields at ETH Zurich. Spring Semester 2019
December 2018 Lectures and Seminars in Insurance Mathematics and Related Fields at ETH Zurich Spring Semester 2019 Quantitative Risk Management, by Prof. Dr. Patrick Cheridito, #401-3629-00L This course
More informationPART II IT Methods in Finance
PART II IT Methods in Finance Introduction to Part II This part contains 12 chapters and is devoted to IT methods in finance. There are essentially two ways where IT enters and influences methods used
More informationThe mathematical model of portfolio optimal size (Tehran exchange market)
WALIA journal 3(S2): 58-62, 205 Available online at www.waliaj.com ISSN 026-386 205 WALIA The mathematical model of portfolio optimal size (Tehran exchange market) Farhad Savabi * Assistant Professor of
More informationDiscussion of. Commodity Price Movements in a General Equilibrium Model of Storage. David M. Arsenau and Sylvain Leduc
Discussion of Commodity Price Movements in a General Equilibrium Model of Storage David M. Arsenau and Sylvain Leduc by Raf Wouters (NBB) "Policy Responses to Commodity Price Movements", 6-7 April 2012,
More informationTHE WHARTON SCHOOL Prof. Winston Dou FNCE206 2&3 Spring 2017 Course Syllabus Financial Derivatives
THE WHARTON SCHOOL Prof. Winston Dou FNCE206 2&3 Spring 2017 Course Syllabus Financial Derivatives Course Description This course covers one of the most exciting yet fundamental areas in finance: derivative
More informationECON FINANCIAL ECONOMICS
ECON 337901 FINANCIAL ECONOMICS Peter Ireland Boston College Fall 2017 These lecture notes by Peter Ireland are licensed under a Creative Commons Attribution-NonCommerical-ShareAlike 4.0 International
More informationEvaluation of proportional portfolio insurance strategies
Evaluation of proportional portfolio insurance strategies Prof. Dr. Antje Mahayni Department of Accounting and Finance, Mercator School of Management, University of Duisburg Essen 11th Scientific Day of
More informationThe Dispersion Bias. Correcting a large source of error in minimum variance portfolios. Lisa Goldberg Alex Papanicolaou Alex Shkolnik 15 November 2017
The Dispersion Bias Correcting a large source of error in minimum variance portfolios Lisa Goldberg Alex Papanicolaou Alex Shkolnik 15 November 2017 Seminar in Statistics and Applied Probability University
More informationList of tables List of boxes List of screenshots Preface to the third edition Acknowledgements
Table of List of figures List of tables List of boxes List of screenshots Preface to the third edition Acknowledgements page xii xv xvii xix xxi xxv 1 Introduction 1 1.1 What is econometrics? 2 1.2 Is
More informationECON FINANCIAL ECONOMICS
ECON 337901 FINANCIAL ECONOMICS Peter Ireland Boston College Spring 2018 These lecture notes by Peter Ireland are licensed under a Creative Commons Attribution-NonCommerical-ShareAlike 4.0 International
More informationThe Black-Litterman Model in Central Bank Practice: Study for Turkish Central Bank
Malaysian Journal of Mathematical Sciences 10(S) February: 193 203 (2016) Special Issue: The 3 rd International Conference on Mathematical Applications in Engineering 2014 (ICMAE 14) MALAYSIAN JOURNAL
More informationThe CAPM. (Welch, Chapter 10) Ivo Welch. UCLA Anderson School, Corporate Finance, Winter December 16, 2016
1/1 The CAPM (Welch, Chapter 10) Ivo Welch UCLA Anderson School, Corporate Finance, Winter 2017 December 16, 2016 Did you bring your calculator? Did you read these notes and the chapter ahead of time?
More informationIn Chapter 7, I discussed the teaching methods and educational
Chapter 9 From East to West Downloaded from www.worldscientific.com Innovative and Active Approach to Teaching Finance In Chapter 7, I discussed the teaching methods and educational philosophy and in Chapter
More informationDay of the Week Effect of Stock Returns: Empirical Evidence from Bombay Stock Exchange
International Journal of Research in Social Sciences Vol. 8 Issue 4, April 2018, ISSN: 2249-2496 Impact Factor: 7.081 Journal Homepage: Double-Blind Peer Reviewed Refereed Open Access International Journal
More informationFoundations of Asset Pricing
Foundations of Asset Pricing C Preliminaries C Mean-Variance Portfolio Choice C Basic of the Capital Asset Pricing Model C Static Asset Pricing Models C Information and Asset Pricing C Valuation in Complete
More informationRezaul Kabir Tilburg University, The Netherlands University of Antwerp, Belgium. and. Uri Ben-Zion Technion, Israel
THE DYNAMICS OF DAILY STOCK RETURN BEHAVIOUR DURING FINANCIAL CRISIS by Rezaul Kabir Tilburg University, The Netherlands University of Antwerp, Belgium and Uri Ben-Zion Technion, Israel Keywords: Financial
More informationDiscussion of The Active vs. Passive Asset Management Debate by T. Roncalli
Discussion of The Active vs. Passive Asset Management Debate by T. Roncalli Charles-Albert Lehalle Senior Research Advisor (Capital Fund Management, Paris) Visiting Researcher (Imperial College, London)
More informationThinking. Alternative. Third Quarter The Role of Alternative Beta Premia
Alternative Thinking The Role of Alternative Beta Premia While risk parity strategies are our highest-capacity answer for investing in long-only, core asset classes, alternative beta premia dynamic long-short
More informationNext Generation Fund of Funds Optimization
Next Generation Fund of Funds Optimization Tom Idzorek, CFA Global Chief Investment Officer March 16, 2012 2012 Morningstar Associates, LLC. All rights reserved. Morningstar Associates is a registered
More informationDiscussion of Optimal Option Portfolio Strategies by Jose Afonso Faias and Pedro Santa-Clara
Discussion of Optimal Option Portfolio Strategies by Jose Afonso Faias and Pedro Santa-Clara Pierre Collin-Dufresne EPFL & SFI Swissquote October 2011 Summary Interpretation of Option return anomalies
More informationRISK NEUTRAL PROBABILITIES, THE MARKET PRICE OF RISK, AND EXCESS RETURNS
ASAC 2004 Quebec (Quebec) Edwin H. Neave School of Business Queen s University Michael N. Ross Global Risk Management Bank of Nova Scotia, Toronto RISK NEUTRAL PROBABILITIES, THE MARKET PRICE OF RISK,
More informationMEMBER CONTRIBUTION. 20 years of VIX: Implications for Alternative Investment Strategies
MEMBER CONTRIBUTION 20 years of VIX: Implications for Alternative Investment Strategies Mikhail Munenzon, CFA, CAIA, PRM Director of Asset Allocation and Risk, The Observatory mikhail@247lookout.com Copyright
More informationGBUS 846 Portfolio Theory Course Introduction and Syllabus
GBUS 846 Portfolio Theory Course Introduction and Syllabus Yiorgos Allayannis Faculty Office Building, Room #184 phone: (434) 924-3434 email: allayannisy@darden.virginia.edu Web: http://faculty.darden.edu/allayannisy
More informationExpected Return Methodologies in Morningstar Direct Asset Allocation
Expected Return Methodologies in Morningstar Direct Asset Allocation I. Introduction to expected return II. The short version III. Detailed methodologies 1. Building Blocks methodology i. Methodology ii.
More informationSeminar HWS 2012: Hedge Funds and Liquidity
Universität Mannheim 68131 Mannheim 25.11.200925.11.2009 Besucheradresse: L9, 1-2 68161 Mannheim Telefon 0621/181-3755 Telefax 0621/181-1664 Nic Schaub schaub@bwl.uni-mannheim.de http://intfin.bwl.uni-mannheim.de
More informationSTUDY HINTS FOR THE LEVEL I CFA EXAM
STUDY HINTS FOR THE LEVEL I CFA EXAM The Level I CFA exam is a multiple choice test consisting of 240 multiple choice questions, half of which will be given in the morning session and half of which will
More informationThe Vasicek adjustment to beta estimates in the Capital Asset Pricing Model
The Vasicek adjustment to beta estimates in the Capital Asset Pricing Model 17 June 2013 Contents 1. Preparation of this report... 1 2. Executive summary... 2 3. Issue and evaluation approach... 4 3.1.
More informationHedging Derivative Securities with VIX Derivatives: A Discrete-Time -Arbitrage Approach
Hedging Derivative Securities with VIX Derivatives: A Discrete-Time -Arbitrage Approach Nelson Kian Leong Yap a, Kian Guan Lim b, Yibao Zhao c,* a Department of Mathematics, National University of Singapore
More informationThe Factors That Matter
The Factors That Matter Presented to Democratize Quant / MARC March 22, 2018 Presented by: Tammira Philippe, CFA President Bridgeway Capital Management This material is intended for use by investment professionals
More informationTHE WHARTON SCHOOL Prof. Winston Dou
THE WHARTON SCHOOL Prof. Winston Dou Course Syllabus Financial Derivatives FNCE717 Fall 2017 Course Description This course covers one of the most exciting yet fundamental areas in finance: derivative
More informationSmart Beta and Factor Investing Global Trends for Pension Investors
Smart Beta and Factor Investing Global Trends for Pension Investors Pascal Blanqué CIO Amundi Executive summary Risk factor investing: Seeing a strong momentum among long-term investors (pension funds,
More informationin-depth Invesco Actively Managed Low Volatility Strategies The Case for
Invesco in-depth The Case for Actively Managed Low Volatility Strategies We believe that active LVPs offer the best opportunity to achieve a higher risk-adjusted return over the long term. Donna C. Wilson
More informationTHEORY & PRACTICE FOR FUND MANAGERS
T H E J O U R N A L O F THEORY & PRACTICE FOR FUND MANAGERS SUMMER 2015 Volume 24 Number 2 The Voices of Influence iijournals.com Working Your Tail Off: Active Strategies Versus Direct Hedging Attakrit
More informationIntroduction and Subject Outline. To provide general subject information and a broad coverage of the subject content of
Introduction and Subject Outline Aims: To provide general subject information and a broad coverage of the subject content of 316-351 Objectives: On completion of this lecture, students should: be aware
More informationSTUDY HINTS FOR THE LEVEL I CFA EXAM
STUDY HINTS FOR THE LEVEL I CFA EXAM The Level I CFA exam is a multiple choice test consisting of 240 multiple choice questions, half of which will be given in the morning session and half of which will
More informationHedge Funds, Hedge Fund Beta, and the Future for Both. Clifford Asness. Managing and Founding Principal AQR Capital Management, LLC
Hedge Funds, Hedge Fund Beta, and the Future for Both Clifford Asness Managing and Founding Principal AQR Capital Management, LLC An Alternative Future Seven years ago, I wrote a paper about hedge funds
More informationJACOBS LEVY CONCEPTS FOR PROFITABLE EQUITY INVESTING
JACOBS LEVY CONCEPTS FOR PROFITABLE EQUITY INVESTING Our investment philosophy is built upon over 30 years of groundbreaking equity research. Many of the concepts derived from that research have now become
More informationVelocityShares Equal Risk Weighted Large Cap ETF (ERW): A Balanced Approach to Low Volatility Investing. December 2013
VelocityShares Equal Risk Weighted Large Cap ETF (ERW): A Balanced Approach to Low Volatility Investing December 2013 Please refer to Important Disclosures and the Glossary of Terms section of this material.
More informationA Recommended Financial Model for the Selection of Safest portfolio by using Simulation and Optimization Techniques
Journal of Applied Finance & Banking, vol., no., 20, 3-42 ISSN: 792-6580 (print version), 792-6599 (online) International Scientific Press, 20 A Recommended Financial Model for the Selection of Safest
More informationVIX ETPs, Inter-Relationships between Volatility Markets and Implications for Investors and Traders
Not a Product of Research / Not for Retail Distribution Citi Equities I U.S. Equity Trading Strategy VIX ETPs, Inter-Relationships between Volatility Markets and Implications for Investors and Traders
More informationMSc Financial Mathematics
MSc Financial Mathematics The following information is applicable for academic year 2018-19 Programme Structure Week Zero Induction Week MA9010 Fundamental Tools TERM 1 Weeks 1-1 0 ST9080 MA9070 IB9110
More informationHow quantitative methods influence and shape finance industry
How quantitative methods influence and shape finance industry Marek Musiela UNSW December 2017 Non-quantitative talk about the role quantitative methods play in finance industry. Focus on investment banking,
More informationSOCIETY OF ACTUARIES Advanced Portfolio Management Exam APM AFTERNOON SESSION. Date: Friday, April 27, 2012 Time: 1:30 p.m. 4:45 p.m.
SOCIETY OF ACTUARIES Exam APM AFTERNOON SESSION Date: Friday, April 27, 2012 Time: 1:30 p.m. 4:45 p.m. INSTRUCTIONS TO CANDIDATES General Instructions 1. This afternoon session consists of 9 questions
More informationHedging Effectiveness in Greek Stock Index Futures Market,
International Research Journal of Finance and Economics ISSN 1450-887 Issue 5 (006) EuroJournals Publishing, Inc. 006 http://www.eurojournals.com/finance.htm Hedging Effectiveness in Greek Stock Index
More informationFinance Theory Spring 1999
Revised 2/2/99 S. C. Myers MIT E52-451 scmyers@mit.edu 15.415 Finance Theory This subject covers modern capital market theory and some of its applications to corporate finance. The sequence of topics follows
More informationPOSSIBILITY CGIA CURRICULUM
LIMITLESSPOSSIBILITY CGIA CURRICULUM CANDIDATES BODY OF KNOWLEDGE FOR 2017 ABOUT CGIA The Chartered Global Investment Analyst (CGIA) is the world s largest and recognized professional body providing approved
More informationDay-of-the-Week and the Returns Distribution: Evidence from the Tunisian Stock Market
The Journal of World Economic Review; Vol. 6 No. 2 (July-December 2011) pp. 163-172 Day-of-the-Week and the Returns Distribution: Evidence from the Tunisian Stock Market Abderrazak Dhaoui * * University
More informationSubject CT8 Financial Economics Core Technical Syllabus
Subject CT8 Financial Economics Core Technical Syllabus for the 2018 exams 1 June 2017 Aim The aim of the Financial Economics subject is to develop the necessary skills to construct asset liability models
More informationThe Capital Assets Pricing Model & Arbitrage Pricing Theory: Properties and Applications in Jordan
Modern Applied Science; Vol. 12, No. 11; 2018 ISSN 1913-1844E-ISSN 1913-1852 Published by Canadian Center of Science and Education The Capital Assets Pricing Model & Arbitrage Pricing Theory: Properties
More informationOctober 31, CBOE Futures Exchange, LLC Rule Certification Submission Number CFE
October 31, 2014 Christopher J. Kirkpatrick Secretary Commodity Futures Trading Commission Three Lafayette Centre 1155 21st Street, N.W. Washington, D.C. 20581 Re: CBOE Futures Exchange, LLC Rule Certification
More informationPersonal income, stock market, and investor psychology
ABSTRACT Personal income, stock market, and investor psychology Chung Baek Troy University Minjung Song Thomas University This paper examines how disposable personal income is related to investor psychology
More informationPerspectives MAY. What are Volatility Risk Premium Strategies?
Perspectives MAY 2018 What are Volatility Risk Premium Strategies? Volatility Risk Premium ( VRP ) strategies also known as defensive equity strategies are relatively new to the institutional landscape,
More informationUniversity of Washington at Seattle School of Business and Administration. Asset Pricing - FIN 592
1 University of Washington at Seattle School of Business and Administration Asset Pricing - FIN 592 Office: MKZ 267 Phone: (206) 543 1843 Fax: (206) 221 6856 E-mail: jduarte@u.washington.edu http://faculty.washington.edu/jduarte/
More informationFactoring Profitability
Factoring Profitability Authors Lisa Goldberg * Ran Leshem Michael Branch Recent studies in financial economics posit a connection between a gross-profitability strategy and quality investing. We explore
More informationECON FINANCIAL ECONOMICS
ECON 337901 FINANCIAL ECONOMICS Peter Ireland Boston College Fall 2017 These lecture notes by Peter Ireland are licensed under a Creative Commons Attribution-NonCommerical-ShareAlike 4.0 International
More informationFixed Income Analysis
ICEF, Higher School of Economics, Moscow Master Program, Fall 2017 Fixed Income Analysis Course Syllabus Lecturer: Dr. Vladimir Sokolov (e-mail: vsokolov@hse.ru) 1. Course Objective and Format Fixed income
More informationDoes Relaxing the Long-Only Constraint Increase the Downside Risk of Portfolio Alphas? PETER XU
Does Relaxing the Long-Only Constraint Increase the Downside Risk of Portfolio Alphas? PETER XU Does Relaxing the Long-Only Constraint Increase the Downside Risk of Portfolio Alphas? PETER XU PETER XU
More informationApplied Macro Finance
Master in Money and Finance Goethe University Frankfurt Week 2: Factor models and the cross-section of stock returns Fall 2012/2013 Please note the disclaimer on the last page Announcements Next week (30
More informationFE501 Stochastic Calculus for Finance 1.5:0:1.5
Descriptions of Courses FE501 Stochastic Calculus for Finance 1.5:0:1.5 This course introduces martingales or Markov properties of stochastic processes. The most popular example of stochastic process is
More informationIntroductory Econometrics for Finance
Introductory Econometrics for Finance SECOND EDITION Chris Brooks The ICMA Centre, University of Reading CAMBRIDGE UNIVERSITY PRESS List of figures List of tables List of boxes List of screenshots Preface
More informationJournal of Asia Pacific Business Innovation & Technology Management
Journal of Asia Pacific Business Innovation & echnology Management 003 (2013) 066-070 Contents lists available at JAPBIM Journal of Asia Pacific Business Innovation & echnology Management APBIMS Homepage:
More informationEstimating the Current Value of Time-Varying Beta
Estimating the Current Value of Time-Varying Beta Joseph Cheng Ithaca College Elia Kacapyr Ithaca College This paper proposes a special type of discounted least squares technique and applies it to the
More informationQuantitative Analysis in Finance
*** This syllabus is tentative and subject to change as needed. Quantitative Analysis in Finance Professor: E-mail: sean.shin@aalto.fi Phone: +358-50-304-3004 Office: G2.10 (Office hours: by appointment)
More informationLong-run Consumption Risks in Assets Returns: Evidence from Economic Divisions
Long-run Consumption Risks in Assets Returns: Evidence from Economic Divisions Abdulrahman Alharbi 1 Abdullah Noman 2 Abstract: Bansal et al (2009) paper focus on measuring risk in consumption especially
More informationEQUITY RESEARCH AND PORTFOLIO MANAGEMENT
EQUITY RESEARCH AND PORTFOLIO MANAGEMENT By P K AGARWAL IIFT, NEW DELHI 1 MARKOWITZ APPROACH Requires huge number of estimates to fill the covariance matrix (N(N+3))/2 Eg: For a 2 security case: Require
More informationPaul D. Kaplan, Ph.D., CFA Quantitative Research Director, Morningstar Europe, Ltd.
Building Portfolios in a Non-NormalNormal World Paul D. Kaplan, Ph.D., CFA Quantitative Research Director, Morningstar Europe, Ltd. 2011 Morningstar, Inc. All rights reserved. We seem to have a once-in-a-lifetime
More informationMSc Financial Mathematics
MSc Financial Mathematics Programme Structure Week Zero Induction Week MA9010 Fundamental Tools TERM 1 Weeks 1-1 0 ST9080 MA9070 IB9110 ST9570 Probability & Numerical Asset Pricing Financial Stoch. Processes
More informationUnderstanding Investments
Understanding Investments Theories and Strategies Nikiforos T. Laopodis j Routledge Taylor & Francis Croup NEW YORK AND LONDON CONTENTS List of Illustrations Preface xxni xxix Parti Chapter 1 INVESTMENT
More informationIntroduction to Risk Parity and Budgeting
Chapman & Hall/CRC FINANCIAL MATHEMATICS SERIES Introduction to Risk Parity and Budgeting Thierry Roncalli CRC Press Taylor &. Francis Group Boca Raton London New York CRC Press is an imprint of the Taylor
More informationTHE PENNSYLVANIA STATE UNIVERSITY SCHREYER HONORS COLLEGE DEPARTMENT OF FINANCE
THE PENNSYLVANIA STATE UNIVERSITY SCHREYER HONORS COLLEGE DEPARTMENT OF FINANCE EXAMINING THE IMPACT OF THE MARKET RISK PREMIUM BIAS ON THE CAPM AND THE FAMA FRENCH MODEL CHRIS DORIAN SPRING 2014 A thesis
More informationOPTIMAL RISKY PORTFOLIOS- ASSET ALLOCATIONS. BKM Ch 7
OPTIMAL RISKY PORTFOLIOS- ASSET ALLOCATIONS BKM Ch 7 ASSET ALLOCATION Idea from bank account to diversified portfolio Discussion principles are the same for any number of stocks A. bonds and stocks B.
More informationAny asset that derives its value from another underlying asset is called a derivative asset. The underlying asset could be any asset - for example, a
Options Week 7 What is a derivative asset? Any asset that derives its value from another underlying asset is called a derivative asset. The underlying asset could be any asset - for example, a stock, bond,
More informationThe Conditional Relationship between Risk and Return: Evidence from an Emerging Market
Pak. j. eng. technol. sci. Volume 4, No 1, 2014, 13-27 ISSN: 2222-9930 print ISSN: 2224-2333 online The Conditional Relationship between Risk and Return: Evidence from an Emerging Market Sara Azher* Received
More informationJournal of Finance and Banking Review. Single Beta and Dual Beta Models: A Testing of CAPM on Condition of Market Overreactions
Journal of Finance and Banking Review Journal homepage: www.gatrenterprise.com/gatrjournals/index.html Single Beta and Dual Beta Models: A Testing of CAPM on Condition of Market Overreactions Ferikawita
More informationCFA Level III - LOS Changes
CFA Level III - LOS Changes 2016-2017 Ethics Ethics Ethics Ethics Ethics Ethics Ethics Ethics Topic LOS Level III - 2016 (332 LOS) LOS Level III - 2017 (337 LOS) Compared 1.1.a 1.1.b 1.2.a 1.2.b 2.3.a
More information