Essays about: "Emil Eliasson"

Found 2 essays containing the words Emil Eliasson.

1. 1. Outlier-Robust Dynamic Portfolio Optimization based on Bear-Bull-Regimes

   University essay from Lunds universitet/Matematisk statistik

   Author : Emil Eliasson; Linus Hamlin; [2018]
   Keywords : Mathematics and Statistics;

   Abstract : The work in this thesis is meant to improve an existing algorithm described in Nystrup (2017). As the original model uses a normal distribution to approximate the daily logarithmic returns, the authors of this thesis aim to improve the approximation by using Student’s t-distribution which may be a better approximation of financial data. READ MORE

3. 2. Financial Behavior and the Momentum Strategy

   University essay from Lunds universitet/Företagsekonomiska institutionen

   Author : Olle Josefsson; Emil Eliasson; Fredrik Thörning; [2018]
   Keywords : Behavioral Finance; Momentum Strategy; CAPM; Sharpe Ratio and Trading; Business and Economics;

   Abstract : Title: Financial Behavior and the Momentum Strategy Seminar date: 2018-05-31 Course: FEKH89, Bachelor’s Degree Project in Financial Management, Business Administration, Undergraduate Level, 15 ECTS Authors: Emil Eliasson, Olle Josefsson, Fredrik Thörning Advisor: Maria Gårdängen Purpose: The authors of this thesis aim to study if it is possible to generate a better Sharpe ratio within the CAPM-theory using a mathematical model to buy and sell a risky asset depending on the market volatility. The authors then aim to explain the changes in volatility by discussing anomalies in the market. READ MORE