Essays about: "Filippa Lövgren"

Found 1 essay containing the words Filippa Lövgren.

  1. 1. Volatility Timing using Machine Learning - An Application to a Signal Based Portfolio

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Filippa Lövgren; Julian Marvin Ulmer; [2022]
    Keywords : Machine Learning; Support Vector Machines; VIX; Volatility Timing; Portfolio Construction; Business and Economics;

    Abstract : Recent events such as the covid-19 pandemic and the Russian-Ukrainian war have led to a tremendous increase in volatility, making financial markets riskier for investors. To see whether investors can counteract or profit from such risk, we develop a volatility timed trading strategy. READ MORE