Sökning: "Jan Martinsson Engshagen"

Hittade 1 uppsats innehållade orden Jan Martinsson Engshagen.

  1. 1. Nothing is normal in nance! : On Tail Correlations and Robust Higher Order Moments in Normal Portfolio Frameworks

    Master-uppsats, KTH/Matematik (Inst.)

    Författare :Jan Martinsson Engshagen; [2012]
    Nyckelord :Correlation Matrix; Tail Correlations; Skewness; Robust Skewness;

    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