Forecasting the Equity Premium and Optimal Portfolios
The expected equity premium is an important parameter in many financial models, especially within portfolio optimization. A good forecast of the future equity premium is therefore of great interest. In this thesis we seek to forecast the equity premium, use it in portfolio optimization and then give...
| Main Authors: | , |
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| Format: | Others |
| Language: | English |
| Published: |
Linköpings universitet, Matematiska institutionen
2008
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| Subjects: | |
| Online Access: | http://urn.kb.se/resolve?urn=urn:nbn:se:liu:diva-11795 |