Sökning: "Conditional Kurtosis"

Hittade 4 uppsatser innehållade orden Conditional Kurtosis.

  1. 1. Considering Tail Events in Hedge Fund Portfolio Optimization

    Master-uppsats, Linköpings universitet/Produktionsekonomi

    Författare :Josefin Bladh; Holm Greta; [2021]
    Nyckelord :Portfolio Optimization; Hedge Funds; Tail Events; Mean-CVaR;

    Sammanfattning : The Fourth Swedish National Pension Fund (AP4), as well as many other large investors, has noted deficiencies the Mean-Variance framework for portfolio management of asset with non-normal characteristics. The main problem apparent in the Mean-Variance framework, when investing in alternative assets such as hedge funds, is the lacking systematic control of the balance between the measurements of risk due normal variation and tail-risk. LÄS MER

  3. 2. Forecasting Swedish Stock Market Volatility and Value-at-Risk: A Comparison of EWMA and GARCH Models

    Master-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Carl Nilsson; [2017]
    Nyckelord :volatility forecasting; VaR; GARCH; model confidence set; Business and Economics;

    Sammanfattning : In this study we compare different volatility models on their ability to forecast one day ahead volatility and value-at-risk (VaR). We compare five different GARCH specifications: GARCH, IGARCH, GJR-GARCH, EGARCH and APARCH, as well as EWMA, each paired with six different conditional distributions. LÄS MER

  4. 3. Think on the Downside: Multifactor asset pricing models based on downside risk and their performance relative to the CAPM, FF3F and Momentum

    D-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Författare :Daniil Bargman; [2012]
    Nyckelord :downside risk; MLPM; Omega; co-skewness; co-kurtosis;

    Sammanfattning : This paper introduces two new measures of asset performance in a downside risk-­-reward framework. The first measure, Omega-­-H, is an extension of the Omega ratio from Keating and Shadwick (2002a) that captures an asset's idiosyncratic downside risk and upside potential. LÄS MER

  5. 4. Portfolio Pricing with Measures of Conditional Skewness and Kurtosis

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Natalia Lelis; [2011]
    Nyckelord :Asset Pricing; CAPM; Time-varying Moments; Conditional Skewness; Conditional Kurtosis; Business and Economics;

    Sammanfattning : On the ground of a highly dynamic economic environment, the necessity for time-varying risk measures emerged. Inclusion of higher-order conditional moments in asset pricing models is a very common topic in recent research articles. LÄS MER