Sökning: "Hybrid Generalized Pareto-Empirical-Generalized Pareto Marginals"

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  1. 1. Robust portfolio optimization with Expected Shortfall

    Master-uppsats, KTH/Matematisk statistik

    Författare :Daniel Isaksson; [2016]
    Nyckelord :Robust Portfolio Optimization; Risk Management; Expected Shortfall; Elliptical Distributions; GARCH model; Normal Copula; Hybrid Generalized Pareto-Empirical-Generalized Pareto Marginals; Markowitz Mean-Variance Optimization; Contribution Expected Shortfall;

    Sammanfattning : This thesis project studies robust portfolio optimization with Expected Short-fall applied to a reference portfolio consisting of Swedish linear assets with stocks and a bond index. Specifically, the classical robust optimization definition, focusing on uncertainties in parameters, is extended to also include uncertainties in log-return distribution. LÄS MER