Essays about: "Asset allocation policy"

Showing result 11 - 11 of 11 essays containing the words Asset allocation policy.

  1. 11. Optimal dynamic asset allocation using a non-linear discrete time liquidity driven microstructure market model and extended Kalman filtering

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Anders Strömberg; [2006]
    Keywords : trading; extended kalman filter; non-linear dynamics; microstructure; dynamic optimization; discrete time; asset allocation; financial markets; financial economics; control theory; Economics; econometrics; economic theory; economic systems; economic policy; Nationalekonomi; ekonometri; ekonomisk teori; ekonomiska system; ekonomisk politik; Business and Economics;

    Abstract : This paper use a discrete time microstructure model which considers excess demand and market liquidity as two unobservable state variables as determinants whether the market is overvalued or undervalued. The model expresses the variation of conditional variance of price, were the amplitude of the price changes is dependent on the liquidity of the market. READ MORE