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DYNAMIC PORTFOLIO STRATEGY - USING A MULTIVARIATE GARCH MODEL

Svärd, Stefan LU (2014) NEKP03 20141
Department 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.
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author
Svärd, Stefan LU
supervisor
organization
course
NEKP03 20141
year
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},
  keyword      = {EGARCH,DCC,Multivariate GARCH model,GARCH-M,OMXS30,Active Portfolio Management},
  language     = {eng},
  note         = {Student Paper},
  title        = {DYNAMIC PORTFOLIO STRATEGY - USING A MULTIVARIATE GARCH MODEL},
  year         = {2014},
}