Essays about: "Jacob Blomgren"

Found 1 essay containing the words Jacob Blomgren.

  1. 1. A mean-variance Portfolio Optimizing Trading Algorithm using regime-switching Economic Parameters

    University essay from Lunds universitet/Matematisk statistik

    Author : Jacob Blomgren; [2016]
    Keywords : nancial engineering; algorithmic trading; portfolio optimiza- tion; mean-variance criterion; regime-switching; quadratic programming; hid- den markov model; Mathematics and Statistics;

    Abstract : In this master's thesis a model of algorithmic trading is constructed. The model aims to create an optimal investment portfolio consisting of a risk-free asset and a risky asset. The risky asset is in the form of a stock generated using regime-switching parameters with a Markov chain explaining the state of the economy. READ MORE