Sökning: "CARLOS JUNIOR LOPEZ VYDRIN"

Hittade 2 uppsatser innehållade orden CARLOS JUNIOR LOPEZ VYDRIN.

1. 1. Forecasting High Yield Corporate Bond Industry Excess Return

   Master-uppsats, KTH/Matematisk statistik

   Författare :Carlos Junior Lopez Vydrin; [2018]
   Nyckelord :;

   Sammanfattning : In this thesis, we apply unsupervised and supervised statistical learning methods on the high-yield corporate bond market with the goal of predicting its future excess return. We analyse the excess return of industry based indices of high-yield corporate bonds belonging to the Chemical, Metals, Paper, Building Materials, Packaging, Telecom, and Electric Utility industry. LÄS MER

3. 2. High Yield Corporate Bond Portfolio Optimization

   Kandidat-uppsats, KTH/Optimeringslära och systemteori

   Författare :Zakaria Marakbi; CARLOS JUNIOR LOPEZ VYDRIN; [2014]
   Nyckelord :high-yield corporate bonds; optimization; dominant design;

   Sammanfattning : The fixed maturity, cash flow and risk characteristics of high-yield corporate bonds distinguish them from equities and complicate a direct application of well established optimization techniques such as Markowitz's mean-variance model and Sharpe ratio maximization. This can partly explain why qualitative methods constitute the dominant design in the portfolio selection process of high-yield corporate bonds. LÄS MER