Sökning: "Extremvärdes teori"

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  1. 1. Simulation-Based Portfolio Optimization with Coherent Distortion Risk Measures

    Master-uppsats, KTH/Matematisk statistik

    Författare :Andreas Prastorfer; [2020]
    Nyckelord :Risk Management; Portfolio Optimization; Conditional Value-at-Risk; Coherent Distortion Riks Measures; Elliptical Distribution; GARCH model; Normal Copulas; Extreme Value Theory; Risk Contributions; Riskhantering; Portföljoptimering; Conditional Value-at-Risk; Koherenta distortionsriskmått; Elliptiska fördelningar; GARCH modeller; Normal-copula; Extremvärdes teori; Riskbidrag;

    Sammanfattning : This master's thesis studies portfolio optimization using linear programming algorithms. The contribution of this thesis is an extension of the convex framework for portfolio optimization with Conditional Value-at-Risk, introduced by Rockafeller and Uryasev. LÄS MER