Essays about: "mathematics of investment"

Showing result 26 - 30 of 32 essays containing the words mathematics of investment.

1. 26. Efficient Risk Factor Allocation with Regime Based Models

   University essay from Lunds universitet/Matematisk statistik

   Author : Oscar Axelsson; [2017]
   Keywords : Risk Factors; Hidden Markov Models; Regime Models; Asset Allocation; Ecient Frontier; Shrinkage Factor; Baum-Welch Algorithm; EM algorithm.; Mathematics and Statistics;

   Abstract : It is widely accepted that nancial mark behaviour is characterized by periodicity. However, in academia and practice financial markets are often modeled as time consistent, resulting in static investment strategies that are assumed to be ecient. READ MORE

3. 27. On Credit Spreads: An Autoregressve Model Approach

   University essay from Lunds universitet/Matematisk statistik

   Author : Anton Schölin; Filip Mörk Persson; [2017]
   Keywords : Mathematics and Statistics;

   Abstract : This thesis proposes an autoregressive credit spread model to make long term simulations of credit spreads and credit indices in the Investment grade and High yield bond segments. Several models are tested, and the final spread model produces simulations with statistics consistent with historical data, even though the model itself is relatively parsimonious. READ MORE

4. 28. A mean-variance Portfolio Optimizing Trading Algorithm using regime-switching Economic Parameters

   University essay from Lunds universitet/Matematisk statistik

   Author : Jacob Blomgren; [2016]
   Keywords : nancial engineering; algorithmic trading; portfolio optimiza- tion; mean-variance criterion; regime-switching; quadratic programming; hid- den markov model; Mathematics and Statistics;

   Abstract : 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

5. 29. Prudent Valuation & Model Risk Quantification

   University essay from Lunds universitet/Matematisk statistik

   Author : Erik Kivilo; Carl Olofsson; [2014]
   Keywords : Mathematics and Statistics;

   Abstract : This paper is a master's thesis by Erik Kivilo and Carl Olofsson at the Faculty of Engineering (LTH) at Lund University. The research and writing took place during the fall of 2014 under the supervision of Magnus Wiktorsson at the Division of Mathematical Statistics at Lund University, and Per Thastrom at EY, Copenhagen. READ MORE

6. 30. Improving Portfolio Performance

   University essay from Lunds universitet/Matematisk statistik

   Author : Ebba Linde; Nina Rodling; [2014]
   Keywords : Mathematics and Statistics;

   Abstract : The objective of this thesis is to investigate performance for dierent investment alternatives for an investor wanting to track a multidimensional stock index. Performance is measured in terms of transaction cost, active return against the index and tracking error. READ MORE