Sökning: "David Renström"
Hittade 2 uppsatser innehållade orden David Renström.
1. PC Regression, Vector Autoregression, and Recurrent Neural Networks: How do they compare when predicting stock index returns for building efficient portfolios?
Master-uppsats, KTH/Optimeringslära och systemteoriSammanfattning : This thesis examines the statistical and economic performance of modeling and predicting equity index returns by application of various statistical models on a set of macroeconomic and financial variables. By combining linear principal component regression, vector autoregressive models, and LSTM neural networks, the authors find that while a majority of the models display high statistical significance, virtually none of them successfully outperform classic portfolio theory on efficient markets in terms of risk-adjusted returns. LÄS MER
2. Modelling management fees of mutual funds using multiple linearregression
Kandidat-uppsats, KTH/Matematisk statistikSammanfattning : This paper seeks to investigate whether management fees, set by mutual funds, rely on a set of explanatory variables. The study includes equity, bond, and money market funds, all investing in securities registered in Sweden. LÄS MER