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You searched for subject:(Volatility Alpha). Showing records 1 – 9 of 9 total matches.

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NSYSU

1. CHANG, I-LIN. Volatility Alpha Fund.

Degree: Master, Finance, 2009, NSYSU

 We use dynamic hedging to replicate the short put positions of common stocks and thelong put positions of equity index. The strategy is developed based… (more)

Subjects/Keywords: option; Volatility Alpha; Dynamic Hedging

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APA (6th Edition):

CHANG, I. (2009). Volatility Alpha Fund. (Thesis). NSYSU. Retrieved from http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0629109-085849

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

CHANG, I-LIN. “Volatility Alpha Fund.” 2009. Thesis, NSYSU. Accessed October 16, 2019. http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0629109-085849.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

CHANG, I-LIN. “Volatility Alpha Fund.” 2009. Web. 16 Oct 2019.

Vancouver:

CHANG I. Volatility Alpha Fund. [Internet] [Thesis]. NSYSU; 2009. [cited 2019 Oct 16]. Available from: http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0629109-085849.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

CHANG I. Volatility Alpha Fund. [Thesis]. NSYSU; 2009. Available from: http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0629109-085849

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

2. Chuang, Wayne K. Modeling Organic Aerosol Formation from Alpha-Pinene Ozonolysis in the Volatility Basis Set Framework.

Degree: 2016, Carnegie Mellon University

 Volatile organic compounds released by plants or through processes such as combustion reacts with oxidative species in the air, such as ozone or hydroxyl radicals.… (more)

Subjects/Keywords: alpha-pinene ozonolysis; dynamic model; organic aerosol; volatility basis set

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APA (6th Edition):

Chuang, W. K. (2016). Modeling Organic Aerosol Formation from Alpha-Pinene Ozonolysis in the Volatility Basis Set Framework. (Thesis). Carnegie Mellon University. Retrieved from http://repository.cmu.edu/dissertations/698

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Chuang, Wayne K. “Modeling Organic Aerosol Formation from Alpha-Pinene Ozonolysis in the Volatility Basis Set Framework.” 2016. Thesis, Carnegie Mellon University. Accessed October 16, 2019. http://repository.cmu.edu/dissertations/698.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Chuang, Wayne K. “Modeling Organic Aerosol Formation from Alpha-Pinene Ozonolysis in the Volatility Basis Set Framework.” 2016. Web. 16 Oct 2019.

Vancouver:

Chuang WK. Modeling Organic Aerosol Formation from Alpha-Pinene Ozonolysis in the Volatility Basis Set Framework. [Internet] [Thesis]. Carnegie Mellon University; 2016. [cited 2019 Oct 16]. Available from: http://repository.cmu.edu/dissertations/698.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Chuang WK. Modeling Organic Aerosol Formation from Alpha-Pinene Ozonolysis in the Volatility Basis Set Framework. [Thesis]. Carnegie Mellon University; 2016. Available from: http://repository.cmu.edu/dissertations/698

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation


University of Kentucky

3. Riley, Timothy B. Two Essays on the Low Volatility Anomaly.

Degree: 2014, University of Kentucky

 I find the low volatility anomaly is present in all but the smallest of stocks. Portfolios can be formed on either total or idiosyncratic volatility(more)

Subjects/Keywords: Volatility; Idiosyncratic; Anomaly; Mutual Funds; Alpha; Finance and Financial Management

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APA (6th Edition):

Riley, T. B. (2014). Two Essays on the Low Volatility Anomaly. (Doctoral Dissertation). University of Kentucky. Retrieved from https://uknowledge.uky.edu/finance_etds/1

Chicago Manual of Style (16th Edition):

Riley, Timothy B. “Two Essays on the Low Volatility Anomaly.” 2014. Doctoral Dissertation, University of Kentucky. Accessed October 16, 2019. https://uknowledge.uky.edu/finance_etds/1.

MLA Handbook (7th Edition):

Riley, Timothy B. “Two Essays on the Low Volatility Anomaly.” 2014. Web. 16 Oct 2019.

Vancouver:

Riley TB. Two Essays on the Low Volatility Anomaly. [Internet] [Doctoral dissertation]. University of Kentucky; 2014. [cited 2019 Oct 16]. Available from: https://uknowledge.uky.edu/finance_etds/1.

Council of Science Editors:

Riley TB. Two Essays on the Low Volatility Anomaly. [Doctoral Dissertation]. University of Kentucky; 2014. Available from: https://uknowledge.uky.edu/finance_etds/1


Brunel University

4. Bozhkov, Stanislav. Idiosyncratic risk and the cross section of stock returns.

Degree: PhD, 2017, Brunel University

 A key prediction of the Capital Asset Pricing Model (CAPM) is that idiosyncratic risk is not priced by investors because in the absence of frictions… (more)

Subjects/Keywords: Idiosyncratic risk; Cross-sectional return variation; Return predictability; Return Volatility; Stock alpha

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APA (6th Edition):

Bozhkov, S. (2017). Idiosyncratic risk and the cross section of stock returns. (Doctoral Dissertation). Brunel University. Retrieved from http://bura.brunel.ac.uk/handle/2438/16792 ; https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.764936

Chicago Manual of Style (16th Edition):

Bozhkov, Stanislav. “Idiosyncratic risk and the cross section of stock returns.” 2017. Doctoral Dissertation, Brunel University. Accessed October 16, 2019. http://bura.brunel.ac.uk/handle/2438/16792 ; https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.764936.

MLA Handbook (7th Edition):

Bozhkov, Stanislav. “Idiosyncratic risk and the cross section of stock returns.” 2017. Web. 16 Oct 2019.

Vancouver:

Bozhkov S. Idiosyncratic risk and the cross section of stock returns. [Internet] [Doctoral dissertation]. Brunel University; 2017. [cited 2019 Oct 16]. Available from: http://bura.brunel.ac.uk/handle/2438/16792 ; https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.764936.

Council of Science Editors:

Bozhkov S. Idiosyncratic risk and the cross section of stock returns. [Doctoral Dissertation]. Brunel University; 2017. Available from: http://bura.brunel.ac.uk/handle/2438/16792 ; https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.764936

5. Minass, Enideg Ayitenew. Social performance and market performance of stocks : (Evidence from public listed firms in Sweden).

Degree: Business Administration, 2016, Umeå University

  The increasing importance of corporate social responsibility with practitioners is having huge attention in the academic literature. A growing study examines the reasons why… (more)

Subjects/Keywords: Social performance; stock market performance; average social score; risk adjusted return; volatility; alpha; OMX Stockholm; Sweden

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APA (6th Edition):

Minass, E. A. (2016). Social performance and market performance of stocks : (Evidence from public listed firms in Sweden). (Thesis). Umeå University. Retrieved from http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-122903

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Minass, Enideg Ayitenew. “Social performance and market performance of stocks : (Evidence from public listed firms in Sweden).” 2016. Thesis, Umeå University. Accessed October 16, 2019. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-122903.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Minass, Enideg Ayitenew. “Social performance and market performance of stocks : (Evidence from public listed firms in Sweden).” 2016. Web. 16 Oct 2019.

Vancouver:

Minass EA. Social performance and market performance of stocks : (Evidence from public listed firms in Sweden). [Internet] [Thesis]. Umeå University; 2016. [cited 2019 Oct 16]. Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-122903.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Minass EA. Social performance and market performance of stocks : (Evidence from public listed firms in Sweden). [Thesis]. Umeå University; 2016. Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-122903

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

6. Blitz, David. Benchmarking Benchmarks.

Degree: 2011, Erasmus Research Institute of Management

 textabstractBenchmarking benchmarks is a bundle of six studies that are inspired by the prevalence of benchmarking in academic finance research as well as in investment… (more)

Subjects/Keywords: ETF; GTAA; active investing; alpha; asset allocation; asset pricing; benchmark; beta; fundamental indexation; momentum; passive investing; value; volatility

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APA (6th Edition):

Blitz, D. (2011). Benchmarking Benchmarks. (Doctoral Dissertation). Erasmus Research Institute of Management. Retrieved from http://hdl.handle.net/1765/22624

Chicago Manual of Style (16th Edition):

Blitz, David. “Benchmarking Benchmarks.” 2011. Doctoral Dissertation, Erasmus Research Institute of Management. Accessed October 16, 2019. http://hdl.handle.net/1765/22624.

MLA Handbook (7th Edition):

Blitz, David. “Benchmarking Benchmarks.” 2011. Web. 16 Oct 2019.

Vancouver:

Blitz D. Benchmarking Benchmarks. [Internet] [Doctoral dissertation]. Erasmus Research Institute of Management; 2011. [cited 2019 Oct 16]. Available from: http://hdl.handle.net/1765/22624.

Council of Science Editors:

Blitz D. Benchmarking Benchmarks. [Doctoral Dissertation]. Erasmus Research Institute of Management; 2011. Available from: http://hdl.handle.net/1765/22624


Queensland University of Technology

7. Pesee, Chatchai. Stochastic modelling of financial processes with memory and semi-heavy tails.

Degree: 2005, Queensland University of Technology

 This PhD thesis aims to study financial processes which have semi-heavy-tailed marginal distributions and may exhibit memory. The traditional Black-Scholes model is expanded to incorporate… (more)

Subjects/Keywords: Alpha stable distribution; L´evy distribution; the Feller fractional heat equation; the Riesz-Bessel distribution; volatility; the Anh-Inoue model; the tick test; recurrent iterated function systems; memory; semi-heavy tails; long-range dependence; fractional Brownian motion

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APA (6th Edition):

Pesee, C. (2005). Stochastic modelling of financial processes with memory and semi-heavy tails. (Thesis). Queensland University of Technology. Retrieved from https://eprints.qut.edu.au/16057/

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Pesee, Chatchai. “Stochastic modelling of financial processes with memory and semi-heavy tails.” 2005. Thesis, Queensland University of Technology. Accessed October 16, 2019. https://eprints.qut.edu.au/16057/.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Pesee, Chatchai. “Stochastic modelling of financial processes with memory and semi-heavy tails.” 2005. Web. 16 Oct 2019.

Vancouver:

Pesee C. Stochastic modelling of financial processes with memory and semi-heavy tails. [Internet] [Thesis]. Queensland University of Technology; 2005. [cited 2019 Oct 16]. Available from: https://eprints.qut.edu.au/16057/.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Pesee C. Stochastic modelling of financial processes with memory and semi-heavy tails. [Thesis]. Queensland University of Technology; 2005. Available from: https://eprints.qut.edu.au/16057/

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation


Delft University of Technology

8. Permana, F.J. Contributions to the financial mathematics of energy markets.

Degree: 2008, Delft University of Technology

 This thesis provides several contributions to quantitative finance for energy markets: electricity price modelling, implying oil price volatilities, pricing and hedging of exotic commodity options.… (more)

Subjects/Keywords: electricity spot prices; mean-reversion jump-diffusion model; potential L¿é; vy model; α -stable distribution; implied volatility surface; semi-parametric model; Black-Scholes (or Black) model; Asian option; basket option; Asian basket option; GLN (generalized log-normal) distribution; GLN approach

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APA (6th Edition):

Permana, F. J. (2008). Contributions to the financial mathematics of energy markets. (Doctoral Dissertation). Delft University of Technology. Retrieved from http://resolver.tudelft.nl/uuid:01bfcad0-9a56-454b-a30e-dc2fd3394f12 ; urn:NBN:nl:ui:24-uuid:01bfcad0-9a56-454b-a30e-dc2fd3394f12 ; urn:NBN:nl:ui:24-uuid:01bfcad0-9a56-454b-a30e-dc2fd3394f12 ; http://resolver.tudelft.nl/uuid:01bfcad0-9a56-454b-a30e-dc2fd3394f12

Chicago Manual of Style (16th Edition):

Permana, F J. “Contributions to the financial mathematics of energy markets.” 2008. Doctoral Dissertation, Delft University of Technology. Accessed October 16, 2019. http://resolver.tudelft.nl/uuid:01bfcad0-9a56-454b-a30e-dc2fd3394f12 ; urn:NBN:nl:ui:24-uuid:01bfcad0-9a56-454b-a30e-dc2fd3394f12 ; urn:NBN:nl:ui:24-uuid:01bfcad0-9a56-454b-a30e-dc2fd3394f12 ; http://resolver.tudelft.nl/uuid:01bfcad0-9a56-454b-a30e-dc2fd3394f12.

MLA Handbook (7th Edition):

Permana, F J. “Contributions to the financial mathematics of energy markets.” 2008. Web. 16 Oct 2019.

Vancouver:

Permana FJ. Contributions to the financial mathematics of energy markets. [Internet] [Doctoral dissertation]. Delft University of Technology; 2008. [cited 2019 Oct 16]. Available from: http://resolver.tudelft.nl/uuid:01bfcad0-9a56-454b-a30e-dc2fd3394f12 ; urn:NBN:nl:ui:24-uuid:01bfcad0-9a56-454b-a30e-dc2fd3394f12 ; urn:NBN:nl:ui:24-uuid:01bfcad0-9a56-454b-a30e-dc2fd3394f12 ; http://resolver.tudelft.nl/uuid:01bfcad0-9a56-454b-a30e-dc2fd3394f12.

Council of Science Editors:

Permana FJ. Contributions to the financial mathematics of energy markets. [Doctoral Dissertation]. Delft University of Technology; 2008. Available from: http://resolver.tudelft.nl/uuid:01bfcad0-9a56-454b-a30e-dc2fd3394f12 ; urn:NBN:nl:ui:24-uuid:01bfcad0-9a56-454b-a30e-dc2fd3394f12 ; urn:NBN:nl:ui:24-uuid:01bfcad0-9a56-454b-a30e-dc2fd3394f12 ; http://resolver.tudelft.nl/uuid:01bfcad0-9a56-454b-a30e-dc2fd3394f12

9. Rönngren, Andreas. Active Share in the Swedish Premium Pension System : A Study on Mutual Fund Activity and Performance.

Degree: Business Administration, 2013, Umeå University

  We investigate the activity and performance of 64 Swedish registered mutual equity funds available in the Swedish Premium Pension System from October 2002 to… (more)

Subjects/Keywords: Active Share; tracking error volatility; tracking error; fund performance; alpha; Swedish funds; fund return; mutual equity funds; CAPM; three-factor model; four factor model; pension; Swedish pension system; premium pension; Swedish premium pension system

…funds is to choose a truly active fund. Traditionally, Tracking-Error Volatility (TEV… …managed, the conventional method is to use tracking error volatility (TEV). TEV… …share”, “tracking-error “ and “fourfactor alpha”. References from the studies of Cremers and… …variable, alpha. In general, we apply two methods in order to grasp the true relationship between… …the two variables and the alpha. The first one is to include historical dead funds into… 

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APA (6th Edition):

Rönngren, A. (2013). Active Share in the Swedish Premium Pension System : A Study on Mutual Fund Activity and Performance. (Thesis). Umeå University. Retrieved from http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-73545

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Rönngren, Andreas. “Active Share in the Swedish Premium Pension System : A Study on Mutual Fund Activity and Performance.” 2013. Thesis, Umeå University. Accessed October 16, 2019. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-73545.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Rönngren, Andreas. “Active Share in the Swedish Premium Pension System : A Study on Mutual Fund Activity and Performance.” 2013. Web. 16 Oct 2019.

Vancouver:

Rönngren A. Active Share in the Swedish Premium Pension System : A Study on Mutual Fund Activity and Performance. [Internet] [Thesis]. Umeå University; 2013. [cited 2019 Oct 16]. Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-73545.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Rönngren A. Active Share in the Swedish Premium Pension System : A Study on Mutual Fund Activity and Performance. [Thesis]. Umeå University; 2013. Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-73545

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

.