Peter Nystrup

Peter Nystrup

Postdoc

DTU COMPUTE
Department of Applied Mathematics and Computer Science

Technical University of Denmark

Asmussens Allé

Building 303B, room 019

2800 Kgs. Lyngby

Request a vCard via e-mail.

Publications
Projects
Loading

Publications rss feed

2018
 

Dynamic Allocation or Diversification: A Regime-Based Approach to Multiple Assets

Nystrup, Peter ; Hansen, Bo William ; Larsen, Henrik Olejasz ; Madsen, Henrik ; Lindström, Erik
in: The Journal of Portfolio Management (ISSN: 0095-4918), vol: 44, issue: 2, pages: 62-73, 2018

Type: Journal article (Peer reviewed)

Status: Published     |    Year: 2018     |    DOI: http://dx.doi.org/10.3905/jpm.2018.44.2.062

2017
 

Dynamic portfolio optimization across hidden market regimes

Nystrup, Peter ; Madsen, Henrik ; Lindström, Erik
in: Quantitative Finance (ISSN: 1469-7688), vol: 18, issue: 1, pages: 83-95, 2017

Type: Journal article (Peer reviewed)

Status: Published     |    Year: 2017     |    DOI: http://dx.doi.org/10.1080/14697688.2017.1342857

 

Multi-Period Trading via Convex Optimization

Boyd, Stephen ; Busseti, Enzo ; Diamond, Steve ; Kahn, Ronald N. ; Nystrup, Peter ; Speth, Jan
in: Foundations and Trends in Optimization (ISSN: 2167-3888), vol: 3, issue: 1, pages: 1-76, 2017

Type: Journal article (Peer reviewed)

Status: Published     |    Year: 2017     |    DOI: http://dx.doi.org/10.1561/2400000023

 

Dynamic Asset Allocation - Identifying Regime Shifts in Financial Time Series to Build Robust Portfolios

Nystrup, Peter ; Madsen, Henrik (Main supervisor) ; Hansen, Bo William (Supervisor) ; Larsen, Henrik Olejasz (Supervisor) ; Lindstrøm, Karl Joakim Erik Ludvig (Supervisor)
DTU Compute, pages: 317

Type: Ph.D. thesis

Status: Submitted     |    Year: 2017

2016
 

Long Memory of Financial Time Series and Hidden Markov Models with Time-Varying Parameters

Nystrup, Peter ; Madsen, Henrik ; Lindström, Erik
in: Journal of Forecasting (ISSN: 0277-6693), vol: 36, issue: 8, pages: 989–1002, 2016

Type: Journal article (Peer reviewed)

Status: Published     |    Year: 2016     |    DOI: http://dx.doi.org/10.1002/for.2447

  PDF

Detecting change points in VIX and S&P 500: A new approach to dynamic asset allocation

Nystrup, Peter ; Hansen, Bo William ; Madsen, Henrik ; Lindström, Erik
in: Journal of Asset Management (ISSN: 1470-8272), vol: 17, issue: 5, pages: 361-374, 2016

Type: Journal article (Peer reviewed)

Status: Published     |    Year: 2016     |    DOI: http://dx.doi.org/10.1057/jam.2016.12

2015
  PDF

Stylised facts of financial time series and hidden Markov models in continuous time

Nystrup, Peter ; Madsen, Henrik ; Lindström, Erik
in: Quantitative Finance (ISSN: 1469-7688), vol: 15, issue: 9, pages: 1531-1541, 2015

Type: Journal article (Peer reviewed)

Status: Published     |    Year: 2015     |    DOI: http://dx.doi.org/10.1080/14697688.2015.1004801

 

Regime-Based Versus Static Asset Allocation: Letting the Data Speak

Nystrup, Peter ; Hansen, Bo William ; Madsen, Henrik ; Lindström, Erik
in: The Journal of Portfolio Management (ISSN: 0095-4918), vol: 42, issue: 1, pages: 103-109, 2015

Type: Journal article (Peer reviewed)

Status: Published     |    Year: 2015

 

Long memory of financial time series and hidden Markov models with time-varying parameters

Nystrup, Peter ; Madsen, Henrik ; Lindström, Erik
Presented at:
22nd International Forecasting Financial Markets Conference, 2015, Rennes

Type: Paper (Peer reviewed)

Status: Published     |    Year: 2015