Essays about: "Henrik Gripenvik"

Found 1 essay containing the words Henrik Gripenvik.

  1. 1. Portfolio optimization: A trading strategy based on time varying volatility

    University essay from Handelshögskolan i Stockholm/Institutionen för nationalekonomi

    Author : Henrik Gripenvik; [2006]
    Keywords : ;

    Abstract : This thesis evaluates the possibility of making relatively reliable forecasts of future variances, covariances and returns of a portfolio of risky assets. The forecasts are used as input- variables in a trading strategy based on the Markowitz portfolio optimization algorithm forming an ex ante-optimal portfolio of stocks. READ MORE