Sökning: "Tim Herzig"
Hittade 1 uppsats innehållade orden Tim Herzig.
1. Conditional Value-at-Risk targeted portfolio optimisation
D-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiSammanfattning : 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
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