Sökning: "Axel Skantze"

Hittade 1 uppsats innehållade orden Axel Skantze.

  1. 1. A Black-Litterman portfolio allocation model combined with a Markov switching framework

    Master-uppsats, Lunds universitet/Matematisk statistik

    Författare :Axel Skantze; [2018]
    Nyckelord :Mathematics and Statistics;

    Sammanfattning : This is a M.Sc. thesis investigating the compatibility and performance of a regime switching framework as a complement to the Black-Litterman portfolio allocation model. Conclusively, it is considered to be a compatible match of models in terms of practical implementation and the results indicate that the model is performing well. LÄS MER