Essays about: "Linus Hamlin"

Found 1 essay containing the words Linus Hamlin.

  1. 1. Outlier-Robust Dynamic Portfolio Optimization based on Bear-Bull-Regimes

    University essay from Lunds universitet/Matematisk statistik

    Author : Emil Eliasson; Linus Hamlin; [2018]
    Keywords : Mathematics and Statistics;

    Abstract : The work in this thesis is meant to improve an existing algorithm described in Nystrup (2017). As the original model uses a normal distribution to approximate the daily logarithmic returns, the authors of this thesis aim to improve the approximation by using Student’s t-distribution which may be a better approximation of financial data. READ MORE