Essays about: "CARLOS JUNIOR LOPEZ VYDRIN"

Found 2 essays containing the words CARLOS JUNIOR LOPEZ VYDRIN.

1. 1. Forecasting High Yield Corporate Bond Industry Excess Return

   University essay from KTH/Matematisk statistik

   Author : Carlos Junior Lopez Vydrin; [2018]
   Keywords : ;

   Abstract : In this thesis, we apply unsupervised and supervised statistical learning methods on the high-yield corporate bond market with the goal of predicting its future excess return. We analyse the excess return of industry based indices of high-yield corporate bonds belonging to the Chemical, Metals, Paper, Building Materials, Packaging, Telecom, and Electric Utility industry. READ MORE

3. 2. High Yield Corporate Bond Portfolio Optimization

   University essay from KTH/Optimeringslära och systemteori

   Author : Zakaria Marakbi; CARLOS JUNIOR LOPEZ VYDRIN; [2014]
   Keywords : high-yield corporate bonds; optimization; dominant design;

   Abstract : The fixed maturity, cash flow and risk characteristics of high-yield corporate bonds distinguish them from equities and complicate a direct application of well established optimization techniques such as Markowitz's mean-variance model and Sharpe ratio maximization. This can partly explain why qualitative methods constitute the dominant design in the portfolio selection process of high-yield corporate bonds. READ MORE