Sökning: "Mean-CVaR"

Hittade 4 uppsatser innehållade ordet Mean-CVaR.

  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. A quantitative study of optimal asset allocation in a mean-CVaR & mean-variance framework

    Uppsats för yrkesexamina på avancerad nivå, Umeå universitet/Institutionen för matematik och matematisk statistik

    Författare :Marcus Nilsson; [2014]
    Nyckelord :;

    Sammanfattning : Optimal portfolio selection has been an area of great focus ever since the inception of modern portfolio theory as proposed by Harry Markowitz. This project has applied Markowitz modern portfolio theory to an invest- ment universe created from the output of an economic scenario genera- tor. LÄS MER

  4. 3. Forwards versus Options: Effectiveness in Hedging Currency Risk in International Portfolios

    Magister-uppsats, Lunds universitet/Företagsekonomiska institutionen

    Författare :Cecilia Alvarado-Vargas; Khwanchanok Kessakorn; [2013]
    Nyckelord :Currency Hedging; International Portfolios Diversification; Currency Forward Contracts; Currency Put Options.; Business and Economics;

    Sammanfattning : This paper aims to examine effectiveness of currency hedging of forward contracts and options in international portfolio, consisting of assets denominated in Chinese Yuan and Indian Rupee. Instead of applying Markowitz’s portfolio optimization, mean-CVaR framework is used in order to deal with non-normality of return of financial assets as well as exchange rates. LÄS MER

  5. 4. Comparing Return-Risk and Direct Utility Maximization Portfolio Optimization Methods by ‘Certainty Equivalence Curves’

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Hien Vu; [2009]
    Nyckelord :Portfolio Optimization Return Risk Direct Utility Maximization CE; Economics; econometrics; economic theory; economic systems; economic policy; Nationalekonomi; ekonometri; ekonomisk teori; ekonomiska system; ekonomisk politik; Business and Economics;

    Sammanfattning : Mean-Risk portfolio optimization method proposes an efficient frontier that consists of portfolios not dominated by any portfolio. Consequently, this method reduces the choice set by excluding inefficient portfolios. Different risk measures offer different efficient frontiers, which can be interpreted as different optimal choice sets. LÄS MER