DYNAMIC PORTFOLIO STRATEGY: USING A MULTIVARIATE GARCH MODEL
Independent thesis Advanced level (degree of Master (Two Years)), 20 credits / 30 HE creditsStudent thesis
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
IdentifiersURN: urn:nbn:se:uu:diva-226389OAI: oai:DiVA.org:uu-226389DiVA: diva2:725322
Österholm, Göran, Universitetslektor
Waldenström, Daniel, Gästprofessor