Essays about: "Daniel Drugge"

Found 1 essay containing the words Daniel Drugge.

  1. 1. Allocation Methods for Alternative Risk Premia Strategies

    University essay from KTH/Matematisk statistik

    Author : Daniel Drugge; [2014]
    Keywords : ;

    Abstract : We use regime switching and regression tree methods to evaluate performance in the risk premia strategies provided by Deutsche Bank and constructed from U.S. research data from the Fama French library. The regime switching method uses the Baum-Welch algorithm at its core and splits return data into a normal and a turbulent regime. READ MORE