Essays about: "Saida Ojagverdiyeva"

Found 2 essays containing the words Saida Ojagverdiyeva.

1. 1. Testing The Black- Litterman Model: Sensitivity of Weight Vector to the Variance of Views

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Yuliya Prysyazhnyuk; Saida Ojagverdiyeva; [2011]
   Keywords : Black- Litterman model; views; portfolio optimization; variance-covariance matrix ; Business and Economics;

   Abstract : The paper investigates sensitivity of the optimal portfolio obtained from the Black Litterman model to the specification of the inputs. Specifically estimation methods of the variances of the views are employed and the results are analysed. For this purpose the MSCI indices of 14 European countries are experienced. READ MORE

3. 2. EMPIRICAL TEST ON MACROECONOMIC FACTORS AND STOCK MARKET ANALYSIS: CASE OF KAZAKHSTAN STOCK MARKET

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Billura Bayramova; Saida Ojagverdiyeva; [2010]
   Keywords : Vector Autoregressive Model VAR ; causality; impulse response; variance decomposition; Business and Economics;

   Abstract : This paper analyzes the interactions between Kazakhstan stock market index and maroeconomic variables. The vector autoregressive model (VAR) is employed; Granger causality, impulse responses and variance decomposition tests are implemented. The results show weak interactions among tested variables and the market. READ MORE