Sökning: "Hybrid Generalized Pareto-Empirical-Generalized Pareto Marginals"
Hittade 1 uppsats innehållade orden Hybrid Generalized Pareto-Empirical-Generalized Pareto Marginals.
1. Robust portfolio optimization with Expected Shortfall
Master-uppsats, KTH/Matematisk statistikSammanfattning : 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
Resultatsidor:
1