Sökning: "Vine management"
Visar resultat 1 - 5 av 7 uppsatser innehållade orden Vine management.
1. Risk Assessment of International Mixed Asset Portfolio with Vine Copulas
Kandidat-uppsats, Linköpings universitet/Tillämpad matematik; Linköpings universitet/Tekniska fakultetenSammanfattning : This thesis gives an example of assessing the risk of a financial portfolio with international assets, where the assets may be of different classes, by the use of Monte Carlo simulation and Extreme Value Theory. The simulation uses univariate modelling, models of the assets’ returns as stochastic processes, as well as vine copulas to create dependency between the variables. LÄS MER
2. Hantering av svenska investerares valutarisk i amerikanska tillgångar : Hur svansrisken i en amerikansk aktie och obligationsportfölj denominerad i SEK påverkas av en optimal valutahedge
Master-uppsats, Linköpings universitet/ProduktionsekonomiSammanfattning : För investerare vars portföljer utgörs av internationella investeringar är det i synnerhet viktigt att begrunda beroendestrukturen mellan internationella investeringar och valutakurser. Detta på grund av den valutarisk som investeraren exponerar sig mot utöver de internationella tillgångarnas inneboende risk. LÄS MER
3. Organic waste streams in the wine industry
Kandidat-uppsats, SLU/Department of Molecular SciencesSammanfattning : Today, the annual global production of grapes surpasses seventy million tonnes. Of the grapes used toward winemaking, one fourth end up as pomace. In addition to pomace, vine pruning residues, stems and wastewater sludge contribute to the immense volumes of waste that for a long time has been considered as without value. LÄS MER
4. Considering Tail Events in Hedge Fund Portfolio Optimization
Master-uppsats, Linköpings universitet/ProduktionsekonomiSammanfattning : 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
5. Evaluating Markov Chain Monte Carlo Methods for Estimating Systemic Risk Measures Using Vine Copulas
Master-uppsats, KTH/Matematisk statistikSammanfattning : This thesis attempts to evaluate the Markov Chain Monte Carlo (MCMC) methods Metropolis-Hastings (MH) and No-U-Turn Sampler (NUTS) to estimate systemic risk measures. The subject of analysis is an equity portfolio provided by a Nordic asset management firm, which is modelled using a vine copula. LÄS MER