Sökning: "Dennis Gill"

Hittade 1 uppsats innehållade orden Dennis Gill.

  1. 1. Conditional Value-at-Risk targeted portfolio optimisation

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

    Författare :Dennis Gill; Tim Herzig; [2017]
    Nyckelord :Conditional Value-at-Risk; Value-at-Risk; Coherent Risk Measures; Portfolio Optimisation; Monte Carlo Simulation;

    Sammanfattning : New financial regulations have constantly forced market participants to adapt to changing rules. Recent regulatory iterations require them to focus on tail risk in portfolios of financial assets. One metric to quantify tail risk in portfolios is the Conditional Value-at-Risk (cVaR). LÄS MER