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1. 1. DYNAMIC PORTFOLIO STRATEGY - USING A MULTIVARIATE GARCH MODEL

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Stefan Svärd; [2014]
   Keywords : EGARCH; DCC; Multivariate GARCH model; GARCH-M; OMXS30; Active Portfolio Management; Business and Economics;

   Abstract : This paper examines if it is possible to achieve a higher cumulative and risk adjusted return through an active portfolio strategy compared to a passive portfolio strategy. This is done through a mean-variance framework in which the variance is forecasted using two different models. READ MORE