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DYNAMIC PORTFOLIO STRATEGY: USING A MULTIVARIATE GARCH MODEL
Uppsala University, Disciplinary Domain of Humanities and Social Sciences, Faculty of Social Sciences, Department of Economics.
2014 (English)Independent thesis Advanced level (degree of Master (Two Years)), 20 credits / 30 HE creditsStudent thesis
Abstract [en]

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.

Place, publisher, year, edition, pages
2014.
National Category
Economics
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URN: urn:nbn:se:uu:diva-226389OAI: oai:DiVA.org:uu-226389DiVA: diva2:725322
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Available from: 2014-06-16 Created: 2014-06-16 Last updated: 2014-06-16Bibliographically approved

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