Sökning: "reversible jump"

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  1. 1. Break Point Detection for Strategic Asset Allocation

    Master-uppsats, KTH/Matematisk statistik

    Författare :Erika Madebrink; [2019]
    Nyckelord :Strategic asset allocation; Bayesian; reversible jump; Markov chain Monte Carlo; regime switching;

    Sammanfattning : This paper focuses on how to improve strategic asset allocation in practice. Strategic asset allocation is perhaps the most fundamental issue in portfolio management and it has been thoroughly discussed in previous research. We take our starting point in the traditional work of Markowitz within portfolio optimization. LÄS MER