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Mean-Risk portfolio optimization method proposes an efficient frontier that consists of portfolios not dominated by any portfolio. Consequently, this method reduces the choice set by excluding inefficient portfolios. Different risk measures offer different efficient frontiers, which can be interpreted as different optimal choice sets. The question is whether these different risk measures lead to s
In the light of the current financial crisis, risk management and prediction of market losses seem to play a crucial role in finance. This thesis compares one day out-of-sample predictive performance of standard methods and conditional autoregressive VaR (CAViaR) by Engle & Manganelli (2004) for VaR (Value-at-risk) prediction of market losses. Comparison is made on US, Hong Kong, and Russian i
This paper investigates the profitability of the zero-cost strategies (Winner-Loser) on the Eurozone market for the time period 1999-2009. We find that the Winner portfolio outperforms the Loser portfolio by, on average, 0,8% per month when we combine formation and holding periods of 3, 6, 9 and 12 months. As the sum of these two periods gets closer to 24 months, the excess returns tend to dissipa
The purpose of this thesis is to test the implications of the permanent income – life cycle hypothesis. According to Hall (1978), if the permanent income-life cycle hypothesis is valid, consumption should follow a random walk and no variable other than once-lagged consumption should help explaining current consumption. Two different tests are conducted. Firstly, consumption is regressed upon its o
In recent years the concept of social capital has become particularly popular in epidemiologic literature for its hypothesized effects on health inequalities observable at national levels. This project evolves around the theory of social capital, particularly the interaction of its bonding, bridging and vertical forms and dimensions for health outcomes. It also incorporates a competing viewpoint a
Studien undersöker sambandet mellan ekonomisk tillväxt och utländska direktinvesteringar (FDI) i utvecklingsländer, samt om bättre inhemska finansiella marknader och/eller en högre nivå på humankapitalet påverkar utfallet. Detta studeras genom; (1) En justerad tillväxtmodell där FDI:s påverkan på kapitalackumulationen och teknologiöverföringen inkluderas. (2) En paneldatastudie som baseras på ett
Leveraged buyout transaction is the most familiar PE investment technique in financial market. It is controversial for high debt financing since some companies go to bankruptcy for it, and some companies achieve another boom. Debt financing is cheaper than equity financing, and tax shield would also be attractive for choice of high debt capital structure. Potential LBO companies should be mature,
Financial services sector is fundamental to economic growth and development in all advanced economies. Financial services such as banking, savings and investment, insurance, and debt and equity financing constitute a nation’s economic engine by fulfilling three core functions in the economy. Firstly, these services provide financial intermediation functions between savers/investors that are lookin
Japan is ageing and the proportion of people aged 65 or older is expected to reach 29.9%. Given that the system is not changed, forecast of health spending in 2025 is done taken demographic change into consideration. 8.38% of GDP will be needed for health care (acute care) and 2.62% for long-term care. Considering the fact that Japan has spent 5% less than OECD average for health and that the curr
Syfte: Att med hjälp av optimal arbetslöshetsförsäkringsteori samt empirisk analys – genom en jämförelse mellan länder – undersöka om, och hur, utformandet av de olika fragmenten i en arbetslöshetsförsäkring förklarar arbetslöshetsgraden. Metod: Problemet kommer att angripas med såväl optimal ekonomisk teori som med ekonometri. En multipel regressionsanalys med tvärsnittsdata är den modell som kom
The purpose of this essay is to investigate the question of which factors affect Swedish real estate prices of small-house dwellings. Previous studies have commonly used a limited number of variables. In contrast, we extend the number of variables in this study. Previous studies indicate that interest, disposable income and demographical factors have most influence on real estate prices. However,
The period of 1880-1910 was a time of fast modernization and industrialization in Transylvania. Fertility decline only started in the South, while in the North there was a marked fertility increase. This paper attempts to explain these differences, using a cross-sectional analysis of fertility for 4112 Transylvanian settlements. The factors affecting fertility are modeled using the Eastrelin-Crimm
Abstrakt Den här uppsatsen undersöker vilka konsekvenser utifrån humankapitalteorin, som en senarelagd högskolestart och en förlängd tid i studierna som kan uppstå utifrån ett individekonomiskt och ett samhällsekonomiskt aspekt. För att teorin ska förankras i verkligheten har jag valt att utgå i från en empirisk studie som undersöker studieuppehållens inverkan på löner och inkomster. Uppsatsen und
This paper explores the concept of Value-at-Risk (VaR) through a comparative study of nonparametric and parametric models in order to find the best risk model for banks’ trading portfolios. The non-parametric methods consist of three different approaches: Simple Historical Simulation, Age Weighted Historical Simulation and Volatility Weighted Historical Simulation by means of the EWMA and GARCH mo
Uppsatsen behandlar användningen av Urkund, samt den upplevda användbarheten hos detta system bland undervisande personal vid Lunds universitet. Vår huvudfråga lyder: ”Hur användbart är plagiatkontrollsystemet Urkund?”. Denna besvaras med hjälp av underfrågorna: ”Hur ser användningen av Urkund ut bland universitetslärare på Lunds universitet?” och ”Hur upplever universitetslärarna Urkund?”. Detta
The paper looks into volunteering in Sweden, with the aim to explain why people volunteer and who volunteers. Theories of why individuals volunteer are explored from two perspectives; volunteering as a good demanded by the individual and volunteering as the supply, by individuals, of unpaid labour. The question of who volunteers in Sweden is addressed by analysing the determinants of volunteer lab
In 2007 the largest landlord in Malmö, MKB fastighets AB, performed a survey amongst all their tenants. In this thesis we have analysed MKB’s approach in the survey, we have looked at their results and we have suggested ways to lower the costs without getting a poorer result. We started by comparing MKB’s package of measures with the results we got from our analysis in SPSS Statistics and finished
The relations between demographic indicators and economic business cycles have been proven many times for historical and modern populations. The results from these studies indicated clear connections for demography and economy. Absence of this study for Turkey motivated me to investigate this phenomenon from marital fertility aspect. The aim of the study is to analyze the clear marital fertility r
Web 2.0 is a debatable term and draws much argument. In spite of one’s opinion towards the term, Web 2.0 tools such as blogs, wikis, podcasts and RSS feeds are enormously used in learning environments. In this sense, the overall purpose of this research was to investigate potential of using different Web 2.0 tools in collaborative learning as well as their advantage. Four interviews have been cond
This thesis deals with the topic of effectiveness of automatic stabilization in Sweden from 1970 and onwards. A simple model of how the business cycle affects taxes (through the automatic stabilizers) is used to construct new series for disposable incomes, aggregate demand components and finally aggregate demand. The effectiveness of the automatic stabilizers is measured using the ratio of the roo
