Sökning: "Pavel Lisev"

Hittade 1 uppsats innehållade orden Pavel Lisev.

  1. 1. Pairs Trading: Evaluation of profitability and risks on the Swedish stock market

    Master-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Pavel Lisev; Marc Schurer; [2015]
    Nyckelord :cointegration; pairs trading; market-neutrality; rolling window backtest; OMX; Business and Economics;

    Sammanfattning : The turbulent market environment experienced over the last decades has attracted the broad interest of institutional and retail investors towards non-directional and absolute return investment strategies. The scope of this paper mainly concerns the investigation of whether a pairs trading strategy based on the cointegration approach generates excess returns on the Swedish equity market or fails to meet initial expectations. LÄS MER