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Multivariate Financial Time Series and Volatility Models with Applications to Tactical Asset Allocation
KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics.
2015 (English)Independent thesis Advanced level (degree of Master (Two Years)), 20 credits / 30 HE creditsStudent thesisAlternative title
Multivariata finansiella tidsserier och volatilitetsmodeller med tillämpningar för taktisk tillgångsallokering (Swedish)
Abstract [en]

The financial markets have a complex structure and the modelling techniques have recently been more and more complicated. So for a portfolio manager it is very important to find better and more sophisticated modelling techniques especially after the 2007-2008 banking crisis. The idea in this thesis is to find the connection between the components in macroeconomic environment and portfolios consisting of assets from OMX Stockholm 30 and use these relationships to perform Tactical Asset Allocation (TAA). The more specific aim of the project is to prove that dynamic modelling techniques outperform static models in portfolio theory.

Abstract [sv]

Den finansiella marknaden är av en väldigt komplex struktur och modelleringsteknikerna har under senare tid blivit allt mer komplicerade. För en portföljförvaltare är det av yttersta vikt att finna mer sofistikerade modelleringstekniker, speciellt efter finanskrisen 2007-2008. Idéen i den här uppsatsen är att finna ett samband mellan makroekonomiska faktorer och aktieportföljer innehållande tillgångar från OMX Stockholm 30 och använda dessa för att utföra Tactial Asset Allocation (TAA). Mer specifikt är målsättningen att visa att dynamiska modelleringstekniker har ett bättre utfall än mer statiska modeller i portföljteori.

Place, publisher, year, edition, pages
2015.
Series
TRITA-MAT-E, 2015:72
Keyword [en]
Multivariate Financial Time Series, Multivariate Volatility Models, Modern Portfolio Theory (MPT), Tactical Asset Allocation (TAA)
Keyword [sv]
Multivariata finansiella tidsserier, Multivariata volatilitets modeller, Modern portföljteori (MPT), Taktisk tillgångsallokering (TAA)
National Category
Probability Theory and Statistics
Identifiers
URN: urn:nbn:se:kth:diva-175326OAI: oai:DiVA.org:kth-175326DiVA: diva2:865397
Subject / course
Mathematical Statistics
Educational program
Master of Science - Applied and Computational Mathematics
Supervisors
Examiners
Available from: 2015-10-28 Created: 2015-10-12 Last updated: 2015-10-28Bibliographically approved

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CiteExportLink to record
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Citation style
  • apa
  • harvard1
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  • modern-language-association-8th-edition
  • vancouver
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More styles
Language
  • de-DE
  • en-GB
  • en-US
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  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
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