Sökning: "Mean-Variance Criterion"
Hittade 3 uppsatser innehållade orden Mean-Variance Criterion.
1. VIX ETPs as Portfolio Diversifiers
D-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiSammanfattning : This paper studies whether the popularity of VIX ETPs can be explained by their suitability as portfolio diversifiers for retail investors having access to a typical set of ETFs. We first carry out an analysis from the perspective of investors with a quadratic utility function by employing the mean-variance spanning test and the mean-variance criterion. LÄS MER
2. A mean-variance Portfolio Optimizing Trading Algorithm using regime-switching Economic Parameters
Master-uppsats, Lunds universitet/Matematisk statistikSammanfattning : In this master's thesis a model of algorithmic trading is constructed. The model aims to create an optimal investment portfolio consisting of a risk-free asset and a risky asset. The risky asset is in the form of a stock generated using regime-switching parameters with a Markov chain explaining the state of the economy. LÄS MER
3. Testing market efficiency in an ex-dividend setting - Could the market be efficient in the presence of inefficiency?
Magister-uppsats, Lunds universitet/Företagsekonomiska institutionenSammanfattning : Market efficiency in an ex-dividend context is still a disputed matter in the world of finance. Even though numerous articles have been published in the area, with several different approaches, this anomaly is still contested. LÄS MER