Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
Results
Showing 1 to 9 of 9 for “"index investment"”.
-
Limits to Arbitrage and Commodity Index Investment
The dramatic growth of commodity index investment over the last decade has caused a heated debate regarding its impact on commodity prices among legislators, practitioners and academics. This paper focuses on the unique rolling activity of commodity index investors in the commodity futures markets …
-
Benchmark evaluation of a world gold equity index for index investment
Includes bibliographical references (pages 125-135).
-
Essays on commodity investing and volatility risk
… only exception is the third-generation commodity index that embeds a momentum strategy and can substantially enhance portfolio performance. When shrinkage estimators are used to reduce estimation errors in expected returns, the resulting portfolios are more diversified and stable over time, and …
-
Three essays on bubbles in agricultural futures markets
… on analyzing the market impact of financial index investment in grain futures markets during explosive and non-explosive periods of price behavior. We find that on balance, the effect of index investment on grain futures spikes is very limited, even during periods when prices are explosive …
-
An analysis of the role of financialisation, China and stockholding in agricultural commodity price movements
… uses Granger-causality methods to assess whether index investor positions influence agricultural futures prices. Four extensions are explored that might overcome the limitations of Granger-causality tests in this context. Firstly, the analysis is extended to less liquid markets. Liquid markets …
-
Modelling spot prices, risk management, and investment strategies for the energy markets
… of spot price modelling, risk management, and investment applications in the energy markets. Eight of the most important energy markets that trade futures contracts on NYMEX, and one Spot Energy Index (SEI) proposed for the first time in this thesis, are investigated. A new modelling approach …
-
Fixed income portfolio construction: a Bayesian approach for the allocation of risk factors
… of active fixed income portfolios. Within the investment grade universe, the equilibrium returns are approximated by the yield levels implied by the market prices and these are blended together with investment views. In parallel, risk factors are preferred over asset class risk modelling. …
-
Three Essays On Agricultural Futures Traders
… futures market traders. The growth of financial investment in commodities has introduced participants and raised both new questions and warranted revisiting old questions; these include the impact on commodity prices, the profitability of traders, and the existence of trading skill. To address …
-
Three essays on quantitative analysis in commodity markets
Submission original under an indefinite embargo labeled 'Open Access'. The submission was exported from vireo on 2022-11-11 without embargo terms