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- 2018
-
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
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
-
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
- 2016
-
Mark
Detecting change points in VIX and S&P 500: A new approach to dynamic asset allocation
Nystrup, Peter ; Hansson, Bo William ; Madsen, Henrik and Lindström, Erik LU
(2016)
In Journal of Asset Management
17(5).
p.361-374
- Contribution to journal › Article
-
Mark
Efficient computation of the quasi likelihood function for discretely observed diffusion processes
Höök, Lars Josef and Lindström, Erik LU
(2016)
In Computational Statistics & Data Analysis
103.
p.426-437
- Contribution to journal › Article
-
Mark
Dynamic Portfolio Optimization Across Hidden Market Regimes
Nystrup, Peter ; Madsen, Henrik and Lindström, Erik LU
(2016)
SIAM Conference on Financial Mathematics and Engineering
- Contribution to conference › Paper, not in proceeding
-
Mark
Parameter Estimation in Finance Using Radial Basis Function Methods
Larsson, Elisabeth ; Höök, Lars Josef ; Lindström, Erik LU
and von Sydow, Lina
(2016)
SIAM Conference on Financial Mathematics and Engineering
- Contribution to conference › Paper, not in proceeding
-
Mark
Practical Applications Summary: Regime-Based versus Static Asset Allocation: Letting the Data Speak
Peter, Nystrup ; Bo William, Hansson ; Madsen, Henrik and Lindström, Erik LU
(2016)
In Journal of Portfolio Management
42(1).
p.103-109
- Contribution to journal › Article
-
Mark
Multilevel Monte Carlo Methods for Simulated Maximum Likelihood Inference in Multivariate Diffusions
- Contribution to conference › Paper, not in proceeding