Essays about: "Alex Singh"

Found 1 essay containing the words Alex Singh.

  1. 1. A risk-transaction cost trade-off model for index tracking

    University essay from KTH/Matematisk statistik

    Author : Alex Singh; [2014]
    Keywords : Cross-validation; Distribution of eigenvalues; Factor models; Portfolio rebalancing; Risk estimation; Transaction costs;

    Abstract : This master thesis considers and evaluates a few different risk models for stock portfolios, including an ordinary sample covariance matrix, factor models and an approach inspired from random matrix theory. The risk models are evaluated by simulating minimum variance portfolios and employing a cross-validation. READ MORE