Essays about: "Axel Skantze"

Found 1 essay containing the words Axel Skantze.

  1. 1. A Black-Litterman portfolio allocation model combined with a Markov switching framework

    University essay from Lunds universitet/Matematisk statistik

    Author : Axel Skantze; [2018]
    Keywords : Mathematics and Statistics;

    Abstract : This is a M.Sc. thesis investigating the compatibility and performance of a regime switching framework as a complement to the Black-Litterman portfolio allocation model. Conclusively, it is considered to be a compatible match of models in terms of practical implementation and the results indicate that the model is performing well. READ MORE