Essays about: "portfolio optimiza- tion"
Found 1 essay containing the words portfolio optimiza- tion.
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1. A mean-variance Portfolio Optimizing Trading Algorithm using regime-switching Economic Parameters
University essay from Lunds universitet/Matematisk statistikAbstract : 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
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