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Visar resultat 21 - 25 av 76 uppsatser som matchar ovanstående sökkriterier.

  1. 21. An Empirical Study of Modern Portfolio Optimization

    Master-uppsats, KTH/Matematisk statistik

    Författare :Erik Lagerström; Michael Magne Schrab; [2020]
    Nyckelord :Mean variance optimization; portfolio theory; asset allocation strategies; equal risk contribution; most diversified portfolio; empirical study; backtesting; Mean variance-optimering; portföljteori; allokeringsstrategier; equal risk contribution; most diversified portfolio; empirisk studie; historisk simulering;

    Sammanfattning : Mean variance optimization has shortcomings making the strategy far from optimal from an investor’s perspective. The purpose of the study is to conduct an empirical investigation as to how modern methods of portfolio optimization address the shortcomings associated with mean variance optimization. LÄS MER

  3. 22. Backtesting Expected Shortfall A comparative empirical evaluation of different backtests

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Jesper Johansson; Viktor Fredriksson; [2020]
    Nyckelord :Expected Shortfall; Backtests; Value-at-Risk; Empirical; Risk; Business and Economics;

    Sammanfattning : This paper empirically evaluates whether different backtests for Expected Shortfall (ES) produce similar results. In 2016, the Basel Committee on Banking Supervision proposed a shift from Value-at-Risk (VaR) to ES as the industry standard when calculating capital requirements for banks. However, ES has been found difficult to backtest. LÄS MER

  4. 23. Risk Modeling of Sustainable Mutual Funds Using GARCH Time Series

    Master-uppsats, KTH/Matematisk statistik

    Författare :Erik Malmgren; Annie Zhang; [2020]
    Nyckelord :GARCH; ARMA-GARCH; Risk Modeling; Time Series; Volatility; Value at Risk; Sustainable Investments; SRI; ESG; Mutual Funds; Morningstar; GARCH; ARMA-GARCH; Riskmodellering; Tidsserie; Volatilitet; Value at risk; Hållbara investeringar; SRI; ESG; Fonder; Morningstar;

    Sammanfattning : The demand for sustainable investments has seen an increase in recent years. There is considerable literature covering backtesting of the performance and risk of socially responsible investments (SRI) compared to conventional investments. LÄS MER

  5. 24. A comparative study of VaR and ES using extreme value theory

    Kandidat-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Klara Andersson; [2020]
    Nyckelord :extreme value theory; block maxima; peaks-over-threshold; backtesting; value-at-risk; expected shortfall; Business and Economics;

    Sammanfattning : Using data from OMXS30, we study which of the models block maxima and peaks-over-threshold, based on extreme value theory, are the most accurate when estimating the risk measures Value-at-Risk and Expected Shortfall. To perform this analysis, the risk measures are backtested. LÄS MER

  7. 25. Comparing the Liquidity-Adjusted Expected Shortfall Models Over High and Low Liquid Stocks Portfolios: Empirical Results on Thailand Stock Market

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Watsachol Koosamart; Biyun Meng; [2020]
    Nyckelord :expected shortfall; liquidity adjustment; bid-ask spread; liquidity discount; liquidation time; Business and Economics;

    Sammanfattning : The stylized fact that stock markets are not perfectly liquid propels banks to incorporate liquidity risk in the risk metrics so that market risk can be managed properly. Disregarding liquidity risk can lead to an underestimation of overall risk and substantial losses. LÄS MER