DYNAMIC PORTFOLIO STRATEGY - USING A MULTIVARIATE GARCH MODEL
(2014) NEKP03 20141Department of Economics
- Abstract
- This paper examines if it is possible to achieve a higher cumulative and risk adjusted return through an active portfolio strategy compared to a passive portfolio strategy. This is done through a mean-variance framework in which the variance is forecasted using two different models. The results show that it is possible achieve a higher cumulative and risk adjusted return by dynamically changing the weights of the assets in the portfolio. Especially if a simple market timing rule is used.
Please use this url to cite or link to this publication:
http://lup.lub.lu.se/student-papers/record/4461956
- author
- Svärd, Stefan LU
- supervisor
-
- Bujar Huskaj LU
- organization
- course
- NEKP03 20141
- year
- 2014
- type
- H2 - Master's Degree (Two Years)
- subject
- keywords
- EGARCH, DCC, Multivariate GARCH model, GARCH-M, OMXS30, Active Portfolio Management
- language
- English
- id
- 4461956
- date added to LUP
- 2014-06-27 09:19:06
- date last changed
- 2014-12-08 11:23:27
@misc{4461956, abstract = {{This paper examines if it is possible to achieve a higher cumulative and risk adjusted return through an active portfolio strategy compared to a passive portfolio strategy. This is done through a mean-variance framework in which the variance is forecasted using two different models. The results show that it is possible achieve a higher cumulative and risk adjusted return by dynamically changing the weights of the assets in the portfolio. Especially if a simple market timing rule is used.}}, author = {{Svärd, Stefan}}, language = {{eng}}, note = {{Student Paper}}, title = {{DYNAMIC PORTFOLIO STRATEGY - USING A MULTIVARIATE GARCH MODEL}}, year = {{2014}}, }