Sökning: "primal-dual interior point"

Hittade 2 uppsatser innehållade orden primal-dual interior point.

1. 1. A Multi-Factor Stock Market Model with Regime-Switches, Student's T Margins, and Copula Dependencies

   Master-uppsats, Linköpings universitet/Produktionsekonomi

   Författare :Adnan Berberovic; Alexander Eriksson; [2017]
   Nyckelord :finance; statistics; stock market; stocks; factor; factors; probability; probability distribution; students t distrbution; students t; copula; markov chain; hidden markov model; regime switching; stochastic programming; optimisation; optimization; multi factor model; arbitrage pricing theory; return; performance; back test; expectation maximisation; expectation maximization; multiple linear regression; stochastic process; primal-dual interior point; qq-plot; qq plot; excess return; market regimes; bear market; bull market; market index; index;

   Sammanfattning : Investors constantly seek information that provides an edge over the market. One of the conventional methods is to find factors which can predict asset returns. In this study we improve the Fama and French Five-Factor model with Regime-Switches, student's t distributions and copula dependencies. LÄS MER

3. 2. Constructing an Index Fund Using Interior Point Primal- Dual Method

   Master-uppsats, Akademin för utbildning, kultur och kommunikation

   Författare :Kamta Celestin; Sampid Marius Galabe; [2011]
   Nyckelord :Index fund; interior point method; primal dual method; linear programming model;

   Sammanfattning : Optimization methods nowadays play a very important role in financial decisions such as portfolio managements, construction of index funds and pension funds.  This Master Thesis is devoted to the problem of an index fund construction. LÄS MER