Sökning: "Jan Engshagen"
Hittade 1 uppsats innehållade orden Jan Engshagen.
1. Nothing is normal in nance! : On Tail Correlations and Robust Higher Order Moments in Normal Portfolio Frameworks
Master-uppsats, KTH/Matematik (Inst.)Sammanfattning : Abstract This thesis project is divided in two parts. The first part examines the possibility that correlation matrix estimates based on an outlier sample would contain information about extreme events. According to my findings, such methods do not perform better than simple shrinkage methods where robust shrinkage targets are used. LÄS MER
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