Blar i NTNU Open på forfatter "Mikkelsen, Andreas"
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Hedge Funds as a Diversification Vehicle
Mikkelsen, Andreas; Kjærland, Frode; Henriksen, Tom Erik Sønsteng (Journal article; Peer reviewed, 2019)This study evaluates the out-of-sample diversification benefits of including hedge fund indexes in global stock-bond portfolios. The topic is investigated by assessing several asset allocation strategies from 1998 to 2016. ... -
High-frequency Pairs Trading on a Small Stock Exchange
Mikkelsen, Andreas; Kjærland, Frode (Journal article; Peer reviewed, 2018)We study the performance of a high-frequency pairs trading (PT) strategy on the 100 most liquid stocks, in 15-min intervals, on a small commodity dominated stock exchange (Oslo Stock Exchange) using a comprehensive dataset ...