Sökning: "VBPI"

Hittade 2 uppsatser innehållade ordet VBPI.

  1. 1. Branching Out with Mixtures: Phylogenetic Inference That’s Not Afraid of a Little Uncertainty

    Master-uppsats, KTH/Matematisk statistik

    Författare :Ricky Molén; [2023]
    Nyckelord :Phylogeny; Bayesian analysis; Markov chain Monte Carlo; Variational inference; Mixture of proposal distributions; Fylogeni; Bayesiansk analys; Markov Chain Monte Carlo; Variationsinferens; Mixturer av förslagsfördelningar;

    Sammanfattning : Phylogeny, the study of evolutionary relationships among species and other taxa, plays a crucial role in understanding the history of life. Bayesian analysis using Markov chain Monte Carlo (MCMC) is a widely used approach for inferring phylogenetic trees, but it suffers from slow convergence in higher dimensions and is slow to converge. LÄS MER

  3. 2. Performance and Sensitivity Analysis of the VaR-Based Portfolio Insurance Strategy

    Master-uppsats, Göteborgs universitet/Graduate School

    Författare :Rosa Jonasardottir; Andreas Lavstrand; [2011-07-21]
    Nyckelord :VaR; Value at Risk; VBPI; CPPI; Portfolio Insurance; Omega; Black-Scholes; Geometric Brownian Motion; Gap risk; Portfolio Management; Expected Net Gain;

    Sammanfattning : This paper evaluates the empirical performance of the VaR Based Portfolio Insurance (VBPI) relative to the Constant Proportion Portfolio Insurance (CPPI) based on Swedish data for 1989-2011. The evaluation emphasizes on the two strategies’ ability to combine downside protection with upside potential, with the Omega measure as the main performance evaluator. LÄS MER