Essays about: "David Hallberg"
Found 2 essays containing the words David Hallberg.
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1. PC Regression, Vector Autoregression, and Recurrent Neural Networks: How do they compare when predicting stock index returns for building efficient portfolios?
University essay from KTH/Optimeringslära och systemteoriAbstract : This thesis examines the statistical and economic performance of modeling and predicting equity index returns by application of various statistical models on a set of macroeconomic and financial variables. By combining linear principal component regression, vector autoregressive models, and LSTM neural networks, the authors find that while a majority of the models display high statistical significance, virtually none of them successfully outperform classic portfolio theory on efficient markets in terms of risk-adjusted returns. READ MORE
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2. Modelling management fees of mutual funds using multiple linearregression
University essay from KTH/Matematisk statistikAbstract : This paper seeks to investigate whether management fees, set by mutual funds, rely on a set of explanatory variables. The study includes equity, bond, and money market funds, all investing in securities registered in Sweden. READ MORE