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dc.contributor.advisorSirnes, Espen
dc.contributor.authorBirkelund, Walter
dc.contributor.authorSkjærgård, Trond Jonas
dc.date.accessioned2012-03-16T08:47:26Z
dc.date.available2012-03-16T08:47:26Z
dc.date.issued2011-06-06
dc.description.abstractThis thesis evaluates the possibility of using a trading strategy based the Markowitz portfolio optimization algorithm. The strategy is tested on the Norwegian bond market. As a main feature of our analysis, we use historical prices to estimate expected returns, return variances, and covariance of the different bonds. Microsoft Excel 2010 and Microsoft Visual Basic for Applications 7.0 were applied to process the data and calculate the optimal portfolios. The results from this paper are inconsistent. This implies that no reliable conclusions regarding the potential abilities of the trading strategy can be made. However, eight of the 32 tested portfolios could with a satisfactory statistical significance outperform the risk-return relationship of the index. We find that this strategy can be useful if we were able to incorporate fundamentals like rating, duration and inflation and were able to impose restrictions with regard to the weights in each bond.en
dc.identifier.urihttps://hdl.handle.net/10037/3983
dc.identifier.urnURN:NBN:no-uit_munin_3705
dc.language.isoengen
dc.publisherUniversitetet i Tromsøen
dc.publisherUniversity of Tromsøen
dc.rights.accessRightsopenAccess
dc.rights.holderCopyright 2011 The Author(s)
dc.rights.urihttps://creativecommons.org/licenses/by-nc-sa/3.0en_US
dc.rightsAttribution-NonCommercial-ShareAlike 3.0 Unported (CC BY-NC-SA 3.0)en_US
dc.subject.courseIDBED-3901en
dc.subjectVDP::Samfunnsvitenskap: 200::Økonomi: 210::Bedriftsøkonomi: 213en
dc.subjectVDP::Social science: 200::Economics: 210::Business: 213en
dc.subjectMarkowitzen
dc.subjectThe Norwegian Bond Marketen
dc.subjectPortfolio optimizationen
dc.titleA bond trading strategy based on the Markowitz model : the Norwegian bond marketen
dc.typeMaster thesisen
dc.typeMastergradsoppgaveen


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Attribution-NonCommercial-ShareAlike 3.0 Unported (CC BY-NC-SA 3.0)
Med mindre det står noe annet, er denne innførselens lisens beskrevet som Attribution-NonCommercial-ShareAlike 3.0 Unported (CC BY-NC-SA 3.0)