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Estimation, model selection and evaluation of regression functions in a Least-squares Monte-Carlo framework

This master thesis will investigate one solution to the problem issues with nested stochastic simulation arising when the future value of a portfolio need to be calculated. The solution investigated is the Least-squares Monte-Carlo method, where regression is used to obtain a proxy function for the given portfolio value. We will further investigate how to generate an optimal regression function that minimizes the number of terms in the regression function and reduces the risk of overtting the regression.

Identiferoai:union.ndltd.org:UPSALLA1/oai:DiVA.org:liu-110927
Date January 2014
CreatorsDanielsson, Johan, Gistvik, Gustav
PublisherLinköpings universitet, Produktionsekonomi, Linköpings universitet, Tekniska högskolan, Linköpings universitet, Produktionsekonomi, Linköpings universitet, Tekniska högskolan
Source SetsDiVA Archive at Upsalla University
LanguageEnglish
Detected LanguageEnglish
TypeStudent thesis, info:eu-repo/semantics/bachelorThesis, text
Formatapplication/pdf
Rightsinfo:eu-repo/semantics/openAccess

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