Felix Andresen
Broschiertes Buch

Regime Switching Models and the Mental Accounting Framework

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Master's Thesis from the year 2014 in the subject Economics - Finance, grade: 1,0, Frankfurt School of Finance & Management, language: English, abstract: The main goal of this thesis is to combine all of these concepts into a unified framework, evaluate its feasibility and performance, and to perform an analysis of the most common pitfalls and practical considerations. This unified framework uses both the MVPT and MA approach for asset allocation, but at the same time allows for dynamic and fat-tailed distributions of asset returns. It is implemented in approximately 1200 lines of efficient MA...