Sökning: "Rickard Bredeby"

Hittade 1 uppsats innehållade orden Rickard Bredeby.

  1. 1. Analysis of Copula Opinion Pooling with Applications to Quantitative Portfolio Management

    Master-uppsats, KTH/Matematisk statistik

    Författare :Rickard Bredeby; [2015]
    Nyckelord :Copula opinion pooling; copulas; t copula; views; tail dependence; maximum likelihood; VaR; ES; mean-ES trade-off; portfolio theory; portfolio management; allocation; kernel estimation; correlation.;

    Sammanfattning : In 2005 Attilio Meucci presented his article Beyond Black-Litterman: Views on Non-Normal Markets which introduces the copula opinion pooling approach using generic non-normal market assumptions. Copulas and opinion pooling are used to express views on the market which provides a posterior market distribution that smoothly blends an arbitrarily distributed market prior distribution with arbitrarily chosen views. LÄS MER