Essays about: "Jacob Blomgren"
Found 1 essay containing the words Jacob Blomgren.
1. A mean-variance Portfolio Optimizing Trading Algorithm using regime-switching Economic ParametersUniversity essay from Lunds universitet/Matematisk statistik
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