Essays about: "Fredrik Marcusson"

Found 2 essays containing the words Fredrik Marcusson.

  1. 1. Performance testing theblack-litterman model on OMXS30

    University essay from Stockholms universitet/Finansiering

    Author : Fredrik Marcusson; Patrik Petersson; [2019]
    Keywords : performance testing; omx30; black-litterman; portfolio theory;

    Abstract : An investor wants to maximize return at the cost of as little risk as possible and theBlack-Litterman model can help see that this condition is met. This thesis willinvestigate whether a portfolio created by using modern portfolio theory can beat thebenchmark index in terms of risk-adjusted return during a five year backtest period(2013-2017). READ MORE

  3. 2. Volatility Evaluation Using Conditional Heteroscedasticity Models on Bitcoin, Ethereum and Ripple

    University essay from KTH/Matematisk statistik

    Author : Darko Blazevic; Fredrik Marcusson; [2019]
    Keywords : ;

    Abstract : This study examines and compares the volatility in sample fit and out of sample forecast of four different heteroscedasticity models, namely ARCH, GARCH, EGARCH and GJR-GARCH applied to Bitcoin, Ethereum and Ripple. The models are fitted over the period from 2016-01-01 to 2019-01-01 and then used to obtain one day rolling forecasts during the period from 2018-01-01 to 2019-01-01. READ MORE