Sökning: "MinCVaR"
Hittade 1 uppsats innehållade ordet MinCVaR.
1. Portfolio Optimization : A DCC-GARCH forecast with implied volatility
Magister-uppsats, Linnéuniversitetet/Institutionen för ekonomistyrning och logistik (ELO)Sammanfattning : This thesis performs portfolio optimization using three allocation methods, Certainty Equivalence Tangency (CET), Global Minimum Variance (GMV) and Minimum Conditional Value-at-Risk (MinCVaR). We estimate expected returns and covariance matrices based on 7 stock market indices with a DCC-GARCH model including an ARMA (1. LÄS MER
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