Sökning: "Minimum Conditional Value-at-Risk"

Visar resultat 1 - 5 av 6 uppsatser innehållade orden Minimum Conditional Value-at-Risk.

  1. 1. Portfolio Optimization: The search for an optimal portfolio with cryptocurrencies and S&P 500

    Kandidat-uppsats,

    Författare :Anton Rapp; Henrik Thorwaldsson; [2022-07-11]
    Nyckelord :Portfolio optimization; Miniumum variance portfolio; Capital allocation line; Cryptocurrency; Diversification;

    Sammanfattning : This thesis’ aim is to create an optimal portfolio consisting of Bitcoin, Ethereum and S&P 500. We also examine the minimum variance portfolio with the framework of Markowitz's mean variance optimization model. LÄS MER

  3. 2. Portföljoptimering med hjälp av Conditional Value-at-Risk

    Kandidat-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Eric Lindfors; Pär Börjeson; [2021]
    Nyckelord :Conditional Value-at-Risk; Mean-Variance; portföljoptimering; nyttofunktioner och riskpreferenser.; Business and Economics;

    Sammanfattning : När investerare framställer optimala portföljer med olika tillgångar är det väsentligt att de riskmått som väljs är tillförlitliga och effektiva. Till dessa riskmått tillhör Conditional-Value-at-Risk och Varians. LÄS MER

  4. 3. Allocation of Alternative Investments in Portfolio Management. : A Quantitative Study Considering Investors' Liquidity Preferences

    Master-uppsats, KTH/Matematik (Avd.)

    Författare :Kamyar Espahbodi; Roumi Roumi; [2021]
    Nyckelord :Shadow Allocations; Liquidity; Illiquidity; Alternative Assets; Liquid Assets; Illiquid Assets; Investor Preferences; Monte Carlo Simulations; Tangency Portfolio; Global Minimum Risk Portfolio; Skuggallokeringar; Likviditet; Illikviditet; Alternativa Tillgångar; Likvida Tillgångar; Illikvida Tillgångar; Investerarpreferenser; Monte Carlo-Simuleringar; Tangentportföljen; Minimiriskportföljen;

    Sammanfattning : Despite the fact that illiquid assets pose several difficulties regarding portfolio allocation problems for investors, more investors are increasing their allocation towards them. Alternative assets are characterized as being harder to value and trade because of their illiquidity which raises the question of how they should be managed from an allocation optimization perspective. LÄS MER

  5. 4. Portfolio Optimization : A DCC-GARCH forecast with implied volatility

    Magister-uppsats, Linnéuniversitetet/Institutionen för ekonomistyrning och logistik (ELO)

    Författare :Sam Bigdeli; Filip Bengtsson; [2019]
    Nyckelord :DCC-GARCH; Portfolio Optimization; Certainty Equivalence Tangency; CET; Global Minimum Variance; GMV; Minimum Conditional Value-at-Risk; MinCVaR; Implied volatility index; VIX;

    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

  7. 5. Conditional Value-at-Risk targeted portfolio optimisation

    D-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Författare :Dennis Gill; Tim Herzig; [2017]
    Nyckelord :Conditional Value-at-Risk; Value-at-Risk; Coherent Risk Measures; Portfolio Optimisation; Monte Carlo Simulation;

    Sammanfattning : New financial regulations have constantly forced market participants to adapt to changing rules. Recent regulatory iterations require them to focus on tail risk in portfolios of financial assets. One metric to quantify tail risk in portfolios is the Conditional Value-at-Risk (cVaR). LÄS MER