Essays about: "Elin Palmgren"

Found 2 essays containing the words Elin Palmgren.

1. 1. Hierarchical Clustering in Risk-Based Portfolio Construction

   University essay from KTH/Matematisk statistik

   Author : Natasha Nanakorn; Elin Palmgren; [2021]
   Keywords : Portfolio construction; asset allocation; risk-based asset allocation; hierarchical clustering; agglomerative clustering; hierarchical risk parity; risk; volatility; Portföljallokering; portföljhantering; portföljmetoder; riskbaserad portföljallokering; hierarkisk klustring; agglomerativ klustring; risk; volatilitet;

   Abstract : Following the global financial crisis, both risk-based and heuristic portfolio construction methods have received much attention from both academics and practitioners since these methods do not rely on the estimation of expected returns and as such are assumed to be more stable than Markowitz's traditional mean-variance portfolio. In 2016, Lopéz de Prado presented the Hierarchical Risk Parity (HRP), a new approach to portfolio construction which combines hierarchical clustering of assets with a heuristic risk-based allocation strategy in order to increase stability and improve out-of-sample performance. READ MORE

3. 2. The Impact of Macroeconomic Variables on Stock Return in Different Industries - A Multiple Linear Regression

   University essay from KTH/Matematisk statistik

   Author : Elin Palmgren; Natasha Nanakorn; [2019]
   Keywords : Statistics; applied mathematics; regression analysis; macroeconomics; economics; stock market; Statistik; tillämpad matematik; regressionsanalys; makroekonomi; nationalekonomi; aktiemarknad;

   Abstract : Macroeconomics constitute a central part of fundamental analysis of stock markets and consequently the relationship between macroeconomic variables and stock markets is far from questioned. However, there is no general consensus regarding neither the extent of this relationship nor whether the relationship varies amongst industries. READ MORE