| 1. |
|
|
| 2. |
- Chernov, Mikhail, et al.
(författare)
-
Currency Risk Premiums : A Multi-Horizon Perspective
- 2023
-
Ingår i: Foundations and Trends in Finance. - : Now Publishers Inc.. - 1567-2409 .- 1567-2395. ; 14:1, s. 1-60
-
Tidskriftsartikel (refereegranskat)abstract
- We review the literature on multi-horizon currency risk premiums. We show how the multi-horizon implications arise from the classic present-value relationship. We further show how these implications manifest themselves in the interaction between bond and currency risk premiums. This link is strengthened by explicitly accounting for stochastic discount factors. Information about currency risk premiums at different horizons presents a wealth of new evidence and challenges for existing models.
|
|
| 3. |
- Chernov, Mikhail, et al.
(författare)
-
Currency Risk Premiums : A Multi-horizon Perspective
- 2023
-
Annan publikation (övrigt vetenskapligt/konstnärligt)abstract
- We review the literature on multi-horizon currency risk premiums. We show how the multi-horizon implications arise from the classic present-value relationship. We further show how these implications manifest themselves in the interaction between bond and currency risk premiums. This link is strengthened by explicitly accounting for stochastic discount factors. Information about currency risk premiums at different horizons presents a wealth of new evidence and challenges for existing models.
|
|
| 4. |
- Chernov, Mikhail, et al.
(författare)
-
Currency Risk Premiums: A Multi-Horizon Perspective
-
Annan publikation (övrigt vetenskapligt/konstnärligt)abstract
- We review the literature on multi-horizon currency risk premiums. We show how the multi-horizon implications arise from the classic present-value relationship. We further show how these implications manifest themselves in the interaction between bond and currency risk premiums. This link is strengthened by explicitly accounting for stochastic discount factors. Information about currency risk premiums at different horizons presents a wealth of new evidence and challenges for existing models.
|
|
| 5. |
- Chernov, Mikhail, et al.
(författare)
-
Pricing Currency Risks
-
Annan publikation (övrigt vetenskapligt/konstnärligt)abstract
- The currency market features a relatively small cross-section and conditional expected returns can be characterized by only a few signals - interest differentials, trend and mean-reversion. We exploit these properties to construct a conditional projection of the stochastic discount factor onto excess returns of individual currencies. Our approach is implementable in real time and prices all currencies and prominent strategies conditionally as well as unconditionally. We document that the fraction of unpriced risk in these assets is at least 85%. Extant explanations of carry strategies based on intermediary capital or global volatility are related to these unpriced components, while consumption growth is related to the priced component of returns.
|
|
| 6. |
- Chernov, Mikhail, et al.
(författare)
-
Pricing Currency Risks
- 2023
-
Ingår i: Journal of Finance. - : Wiley. - 1540-6261 .- 0022-1082. ; 78:2, s. 693-730
-
Tidskriftsartikel (refereegranskat)abstract
- The currency market features a small cross-section, and conditional expected returns can be characterized by few signals: interest differential, trend, and mean reversion. We exploit these properties to construct the ex ante mean-variance efficient portfolio of individual currencies. The portfolio is updated in real time and prices all prominent currency trading strategies, conditionally and unconditionally. The fraction of risk in these assets that does not affect their risk premiums is at least 85%. Extant explanations of carry strategies based on intermediary capital or global volatility are related to these unpriced components, while consumption growth is related to the priced component of returns.
|
|
| 7. |
- Dahlquist, Adrian, et al.
(författare)
-
Aerodynamic turbine design for an oxy-fuel combined cycle
- 2016
-
Ingår i: Turbomachinery. - 9780791849705 ; 2B-2016
-
Konferensbidrag (refereegranskat)abstract
- The oxy-fuel combined cycle (OCC) is one of several carbon capture and sequestration (CCS) technologies being developed to reduce CO2 emissions from thermal power plants. The OCC consists of a semi-closed topping Bryton cycle, and a traditional bottoming Rankine cycle. The topping cycle operates with a working medium mixture of mainly CO2 and H2O. This CO2-rich working fluid has significantly different gas properties compared to a conventional open gas turbine cycle, which thereby affects the aerodynamic turbine design for the gas turbine units. The aerodynamic turbine design for oxyfuel gas turbines is an unexplored research field. The topic of this study was therefore to investigate the aerodynamic turbine design of turbines operating with a CO2-rich working fluid. The investigation was performed through a typical turbine aerodesign loop, which covered the 1D mid-span, 2D through-flow, 3D blade profiling design and the steady-state 3D analysis. The design was performed through the use of conventional design methods and criteria in order to investigate if any significant departures from conventional turbine design methods were required. The survey revealed some minor deviations in design considerations, yet it showed that the design is feasible with today's state-of-the-art technology by using conventional design practice and methods. The performance of the oxy-fuel combined cycle was revised based on the performance figures from the components design. The expected total performance figures for the oxy-fuel combined cycle were calculated to be a net electrical power of 119.9 MW and a net thermal efficiency of 48.2%. These figures include the parasitic consumption for the oxygen production required for the combustion and the CO2 compression of the CO2 bleed stream.
|
|
| 8. |
- Dahlquist, Adrian, et al.
(författare)
-
The influence from the working medium on the profile loss in compressor and turbine airfoils
- 2014
-
Ingår i: Proceedings of the ASME Turbo Expo: Turbine Technical Conference And Exposition, 2014, Vol 2C. ; , s. 02-38
-
Konferensbidrag (refereegranskat)abstract
- A number of CCS-technologies are currently being developed for the reduction of CO2 emissions from thermal power stations. One such technology is the oxyfuel process, in which a mixture of CO2 and steam is used as the working medium. The semi-closed oxyfuel combustion combined cycle (SCOC-CC) is an oxyfuel cycle where the working medium mainly consists of CO2 (85-95%). Current practice is to design turbomachinery using 1D and 2D flow tools, which primarily rely on loss models derived from experiments with air. For the oxyfuel case, the losses are hence extrapolated from air to a CO2/steam mixture, which can have adverse effects on the accuracy of the loss model. Therefore, the applicability and accuracy in using profile loss correlations derived with air when changing the working medium to the oxyfuel like environment of pure CO2 was investigated. The reason that 100% CO2 was chosen as the working medium and not a CO2/H2O mixture is that the water content present is relatively low and varies from case-to-case. Hence, a general water content could not be specified that was relevant for all cases. The study was done with typical compressor and turbine airfoils using a steady-state Navier-Stokes' 3D flow solver. This solver type can resolve the boundary layer (y(+) of about unity) rather than relying upon a boundary layer equation, - hence eliminating the latter as a source of error. The hypothesis was that the profile loss depended on the viscosity, and that amendments to the viscosity would affect the profile loss. This trend was observed, e.g. when changing the working medium from air to CO2, the profile loss coefficient (Y-p) for the compressor was reduced with 25% and for the turbine with 6%, respectively. A slight difference in profile loss for an individual cascade was found when changing the working medium from air to CO2. Theoretically, this difference leads to an increased mismatch of the stages downstream even at design point, and thus increases the losses and reduces the stability. However, the difference in profile loss is relatively small at the design point, and thus it is the authors' opinion that the practical effect will be quite small. Therefore, it is considered safe to use loss correlations derived from air for design point calculations even when the working medium is CO2. However, there is a certain risk involved that air- based loss models are not capable of predicting the behavior over the full operating range, as the boundary layers risk to behave in a different manner. Another aspect that was considered is how the wet surface area (physical size) of a turbomachine performing the same work (mho) will change between the two gases. This is important as the total profile loss in a whole compressor or turbine is directly proportional to this change. The conclusion was that the total wet area would increase by some 20% for CO2 compared to air.
|
|
| 9. |
|
|
| 10. |
- Dahlquist, Magnus, et al.
(författare)
-
A Review of Norges Bank's Active Management of the Government Pension Fund Global
- 2018
-
Ingår i: SSRN Electronic Journal. - : Elsevier BV. - 1556-5068.
-
Annan publikation (övrigt vetenskapligt/konstnärligt)abstract
- We have reviewed Norges Bank’s active management of the Government Pension Fund Global, referred to simply as the “Fund.”The absolute performance of the Fund is almost entirely determined by the benchmark choice set by the Ministry of Finance (the asset owner) and is dominated by equity risk. In this sense, the Fund can be viewed as a mega index fund. However, the Fund also deviates from its benchmark and pursues active management. These deviations stem from various investment strategies, such as factor investing, internal and external security selection, trading strategies based on opportunities arising from market imperfections and liquidity provisioning, and real estate investments. In this sense, the Fund can be viewed as akin to a mega index fund, enhanced by its active management.The relative performance of the Fund (i.e., the return difference between the Fund and its benchmark, also referred to as the active return) is 0.20% per year after costs. In terms of the Fund’s value added after costs, this corresponds to a transfer to the asset owner (and ultimately the Norwegian people) of NOK 30–50 billion over the 2013–2017 period, depending on how we adjust and credit risk taking. The lion’s share of the value added comes from the Fund’s equity portfolio. While it is difficult for us to assess each strategy’s contribution to the Fund’s total performance, a return decomposition suggests that the mean active return is due to security selection rather than market timing and, in particular, that the Fund has been able to choose outperforming external managers that contribute substantially. We also find that activities related to the indexing (e.g., asset positioning and securities lending) contribute to the total return, mitigating the Fund’s costs of passively managing the assets.In line with our mandate, the executive summary highlights the main findings and concludes with recommendations.
|
|
