Sökning: "Henning Zakrisson"

Hittade 2 uppsatser innehållade orden Henning Zakrisson.

1. 1. Filtering techniques for asset allocation using a Discrete Time Micro-structure model: a comparative study

   Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

   Författare :Henning Zakrisson; [2017]
   Nyckelord :portfolio management; kalman filter; asset allocation; hidden variable; state space; discrete time micro-structure model; Business and Economics;

   Sammanfattning : This paper is a comparative study of different approaches to using a Discrete Time Micro-structure model. By using the three filtering techniques Extended Kalman, Unscented Kalman and Bootstrap Particle, the hidden variables; excess demand and market liquidity, were estimated and used in an asset allocation strategy that invested in the asset when the excess demand as estimated as positive, due to the assumption that positive excess demand would make the price go up. LÄS MER

3. 2. Practical estimation of Value at Risk and Expected Shortfall: Are complex methods really necessary?

   Kandidat-uppsats, Lunds universitet/Nationalekonomiska institutionen

   Författare :Henning Zakrisson; Johannes Solheim Karlsson; [2016]
   Nyckelord :GARCH; Value at Risk; Expected Shortfall; Parametric estimation; Historical simulation; Business and Economics;

   Sammanfattning : This paper tests the parametric estimation method for Value at Risk and Expected Shortfall estimation together with the historical simulation method to find out if the historical simulation could yield accurate enough estimations in stormy and calm periods. Given that the parametric estimation proved superior, the thesis examines which volatility forecasting models, using which distribution assumptions, would yield the best estimations. LÄS MER