Essays about: "Asset allocation policy"
Showing result 11 - 11 of 11 essays containing the words Asset allocation policy.
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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 institutionenAbstract : 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