Essays about: "Niklas Lindeke"

Found 3 essays containing the words Niklas Lindeke.

1. 1. A Floating Currency Macro Term Structure Model

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Niklas Lindeke; [2017]
   Keywords : Macro-finance; term structure models; exchange rate risks; Business and Economics;

   Abstract : During the last decade there has been many advances in the field of research focusing on term structure models that include macroeconomic risks. The fact that such risks adds to the predictive power of risk premia is evident. READ MORE

3. 2. Prospect Utility Portfolio Optimization

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Niklas Lindeke; [2016]
   Keywords : Utility Maximization; Portfolio Choice; Gradient Ascent; Sparse Group LASSO; Business and Economics;

   Abstract : Portfolio choice theory have in the last decades seen a rise in utilising more advanced utility functions for finding optimal portfolios. This is partly a consequence of the relatively simplistic nature of the quadratic utility, which is often assumed in the classical mean-variance framework. READ MORE

4. 3. Crude Volatility - Investigation of the HAR-RV model and Implied volatility in Brent Crude Futures

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Niklas Lindeke; [2015]
   Keywords : Volatility; Brent Crude; Oil; HAR-RV; Implied Volatility; Business and Economics;

   Abstract : This thesis investigates the relationship between the quantitative volatility model HAR-RV and the qualitative volatility implied in the option pricing formula. Using OLS regression with Newey-West to estimate the HAR model, strong predictive characteristics where obtained, as well as observing a very high informational relationship between the two model. READ MORE