Sökning: "Treasury Bill"

Visar resultat 1 - 5 av 17 uppsatser innehållade orden Treasury Bill.

  1. 1. Risk-Managed Momentum Strategy Using Support Vector Machines

    D-uppsats, Handelshögskolan i Stockholm/Institutionen för nationalekonomi

    Författare :Patrick Schneeberger; [2018]
    Nyckelord :Financial Market; Investment Decisions; Momentum Strategy; Support Vector Machines;

    Sammanfattning : Investment decisions are difficult to make, given the uncertainty about the future. For the purpose of reducing that uncertainty, I investigate, for one, how the consumer price index and the return on the 3-month US Treasury bill can be used by support vector machines to make monthly directional trend predictions of a value-weighted portfolio of stocks traded at AMEX, NYSE and NASDAQ. LÄS MER

  2. 2. Markowitz vs Black--Litterman: A Comparison of Two Portfolio Optimisation Models

    Kandidat-uppsats, Mälardalens högskola/Akademin för utbildning, kultur och kommunikation

    Författare :Eismann Eismann; [2018]
    Nyckelord :;

    Sammanfattning : Modern portfolio theory first gained its ground among researchers and academics, but has become increasingly popular among practitioners. This paper examines the two popular portfolio optimization models, Markowitz mean-variance model and Black-Litterman formula and compares their results on real data. LÄS MER

  3. 3. The Effect of Budget Support on Private Sector Credit in Malawi

    Master-uppsats, Göteborgs universitet/Graduate School

    Författare :Magdalena Andersson Paul; [2017-07-28]
    Nyckelord :;

    Sammanfattning : MSc in Economics.... LÄS MER

  4. 4. Short-Term Interest Rate Models: An Application of Different Models in Multiple Countries

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Yajie Zhao; Boru Wang; [2017]
    Nyckelord :The Vasicek model; the CIR model; General Method of Moments.; Business and Economics;

    Sammanfattning : The purpose of this study is to compare the different short-term interest rate models, and to identify the better model within multiple countries. We selected three different types of data from the United States, the United Kingdom, and New Zealand. LÄS MER

  5. 5. Black-Litterman Model: Practical Asset Allocation Model Beyond Traditional Mean-Variance

    Kandidat-uppsats, Mälardalens högskola/Akademin för utbildning, kultur och kommunikation; Mälardalens högskola/Akademin för utbildning, kultur och kommunikation

    Författare :Shuhrat Abdumuminov; David Emanuel Esteky; [2016]
    Nyckelord :Black-Litterman Model Practical Asset Allocation Model Beyond Traditional Mean-Variance Portfolio Theory;

    Sammanfattning : This paper consolidates and compares the applicability and practicality of Black-Litterman model versus traditional Markowitz Mean-Variance model. Although well-known model such as Mean-Variance is academically sound and popular, it is rarely used among asset managers due to its deficiencies. LÄS MER