Sökning: "Certainty Equivalence Tangency"

Hittade 1 uppsats innehållade orden Certainty Equivalence Tangency.

  1. 1. Portfolio Optimization : A DCC-GARCH forecast with implied volatility

    Magister-uppsats, Linnéuniversitetet/Institutionen för ekonomistyrning och logistik (ELO)

    Författare :Sam Bigdeli; Filip Bengtsson; [2019]
    Nyckelord :DCC-GARCH; Portfolio Optimization; Certainty Equivalence Tangency; CET; Global Minimum Variance; GMV; Minimum Conditional Value-at-Risk; MinCVaR; Implied volatility index; VIX;

    Sammanfattning : This thesis performs portfolio optimization using three allocation methods, Certainty Equivalence Tangency (CET), Global Minimum Variance (GMV) and Minimum Conditional Value-at-Risk (MinCVaR). We estimate expected returns and covariance matrices based on 7 stock market indices with a DCC-GARCH model including an ARMA (1. LÄS MER