Erik Lindström
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- 2018
-
Mark
Practical Applications of Dynamic Allocation or Diversification: A Regime-Based Approach to Multiple Assets
Nystrup, Peter ; Hansen, Bo William ; Larsen, Henrik Olejasz ; Madsen, Henrik and Lindström, Erik LU
(2018)
In Practical Applications
5(4).
- Contribution to journal › Article
-
Mark
Intelligent, Flexible production in an Energy System Dominated by Renewables.
- Chapter in Book/Report/Conference proceeding › Book chapter
-
Mark
A Diffusion Bridge Sampler for Drift- and Diffusion Dominated Models
- Contribution to conference › Paper, not in proceeding
-
Mark
Unbiased Adaptive LASSO parameter estimation for diffusion processes
Lindström, Erik LU
and Höök, Lars Josef
(2018)
18th IFAC Symposium on System Identification
In IFAC-PapersOnLine
51(15).
p.257-262
- Chapter in Book/Report/Conference proceeding › Paper in conference proceeding
-
Mark
Dynamic portfolio optimization across hidden market regimes
Nystrup, Peter ; Madsen, Henrik and Lindström, Erik LU
(2018)
In Quantitative Finance
18(1).
p.83-95
- Contribution to journal › Article
-
Mark
A Variance-Reduced Multilevel Monte Carlo Algorithm for Maximum Likelihood Inference in Multivariate Diffusions
Lindström, Erik LU
and Åkerlindh, Carl
LU
(2018)
12th International Workshop on Rare-Event Simulation
- Contribution to conference › Abstract
- 2017
-
Mark
Long Memory of Financial Time Series and Hidden Markov Models with Time-Varying Parameters
Nystrup, Peter ; Madsen, Henrik and Lindström, Erik LU
(2017)
In Journal of Forecasting
36(8).
p.989-1002
- Contribution to journal › Article
-
Mark
Spatial Statistical Modeling of Insurance Risk An epidemiologist approach to car insurance
Tufvesson, Oscar ; Lindström, Johan LU
and Lindström, Erik
LU
(2017)
SPAS2017 International Conference on Stochastic Processes and Algebraic Structures – From Theory Towards Applications
- Contribution to conference › Paper, not in proceeding
-
Mark
Multi-Period Portfolio Selection with Drawdown Control
Peter, Nystrup ; Henrik, Madsen ; Boyd, Stephen and Lindström, Erik LU
(2017)
International Symposium on Forecasting, 2017
- Contribution to conference › Paper, not in proceeding
-
Mark
Dynamic Allocation or Diversification : A Regime-Based Approach to Multiple Assets
Nystrup, Peter ; Hansen, Bo William ; Olejasz Larsen, Henrik ; Madsen, Henrik and Lindström, Erik LU
(2017)
In Journal of Portfolio Management
44(2).
p.62-73
- Contribution to journal › Article