Essays about: "Ville Ekelund"

Found 1 essay containing the words Ville Ekelund.

  1. 1. Portfolio optimization using factor models

    University essay from Lunds universitet/Matematisk statistik

    Author : Ville Ekelund; [2020]
    Keywords : Mathematics and Statistics;

    Abstract : In this thesis model predictive control (MPC) is used to dynamically optimize a portfolio where data is sampled at the closing price. Previous research has shown that MPC optimization applied on financial data can yield a portfolio that exceeds the value of traditional portfolio strategies. READ MORE