Sökning: "eigenportfolio risk"

Hittade 2 uppsatser innehållade orden eigenportfolio risk.

1. 1. A Multi-Level Extension of the Hierarchical PCA Framework with Applications to Portfolio Construction with Futures Contracts

   Master-uppsats, KTH/Matematisk statistik

   Författare :Kajsa Bjelle; [2023]
   Nyckelord :Portfolio construction; asset allocation; principal component analysis; hierarchical principal component analysis; hierarchical shrinkage; eigenportfolio risk; Portföljkonstruktion; tillgångsallokering; principalkomponentanalys; hierarkisk principalkomponentanalys; hierarkisk krympning; egenportföljrisk;

   Sammanfattning : With an increasingly globalised market and growing asset universe, estimating the market covariance matrix becomes even more challenging. In recent years, there has been an extensive development of methods aimed at mitigating these issues. LÄS MER

3. 2. Factor Models for Futures Contracts to Improve Estimation of the Correlation Matrix

   Master-uppsats, Lunds universitet/Matematisk statistik

   Författare :Ellen Ek; [2022]
   Nyckelord :Correlation matrix; Hierarchical Principal Component Analysis; Factor Model; Clusters; Portfolio Optimization; Futures Contracts; Mathematics and Statistics;

   Sammanfattning : In this paper regularization of the correlation matrix between futures contracts is examined. With starting point in the recently established HPCA framework (Avellaneda, 2019), a couple of different extensions to the one-factor model is suggested. Extensions are made in terms of adjusting the model according to different cluster structures. LÄS MER