Essays about: "Mean-Variance Criterion"
Found 3 essays containing the words Mean-Variance Criterion.
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1. VIX ETPs as Portfolio Diversifiers
University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiAbstract : This paper studies whether the popularity of VIX ETPs can be explained by their suitability as portfolio diversifiers for retail investors having access to a typical set of ETFs. We first carry out an analysis from the perspective of investors with a quadratic utility function by employing the mean-variance spanning test and the mean-variance criterion. READ MORE
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2. A mean-variance Portfolio Optimizing Trading Algorithm using regime-switching Economic Parameters
University essay from Lunds universitet/Matematisk statistikAbstract : 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
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3. Testing market efficiency in an ex-dividend setting - Could the market be efficient in the presence of inefficiency?
University essay from Lunds universitet/Företagsekonomiska institutionenAbstract : Market efficiency in an ex-dividend context is still a disputed matter in the world of finance. Even though numerous articles have been published in the area, with several different approaches, this anomaly is still contested. READ MORE