Sökning: "Andreas lagerqvist"

Hittade 2 uppsatser innehållade orden Andreas lagerqvist.

1. 1. Parameter Estimation of a non-Equilibrium Asset Pricing Model and Performance Analysis of the Calibration in Terms of Sloppiness

   Master-uppsats, KTH/Matematisk statistik

   Författare :Andreas Lagerqvist; [2014]
   Nyckelord :;

   Sammanfattning : Prices of assets traded in stock markets often exhibit out of equilibrium behaviours, e.g. bubbles and recessions. Yukalov et al. LÄS MER

3. 2. An Equal Risk Contribution Portfolio Approach Using VIX Futures

   C-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Författare :Rickard Gunnvald; Andreas Lagerqvist; [2013]
   Nyckelord :Equal risk contribution; VIX Futures; Asset allocation;

   Sammanfattning : As an effect of the unusually volatile financial markets the past few years, new asset allocation strategies such as the equal risk contribution (ERC) approach has been developed. This report examines the effect on portfolio performance of adding VIX Futures contracts to an ERC portfolio consisting of positions in long-term government bonds and S\&P 500 equities. LÄS MER