Essays about: "primal-dual interior point"
Found 2 essays containing the words primal-dual interior point.
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1. A Multi-Factor Stock Market Model with Regime-Switches, Student's T Margins, and Copula Dependencies
University essay from Linköpings universitet/ProduktionsekonomiAbstract : Investors constantly seek information that provides an edge over the market. One of the conventional methods is to find factors which can predict asset returns. In this study we improve the Fama and French Five-Factor model with Regime-Switches, student's t distributions and copula dependencies. READ MORE
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2. Constructing an Index Fund Using Interior Point Primal- Dual Method
University essay from Akademin för utbildning, kultur och kommunikationAbstract : Optimization methods nowadays play a very important role in financial decisions such as portfolio managements, construction of index funds and pension funds. This Master Thesis is devoted to the problem of an index fund construction. READ MORE