Sökning: "excess kurtosis"
Hittade 3 uppsatser innehållade orden excess kurtosis.
1. 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
2. Downside risk: is downside risk being priced in the U.S. stock market?
Kandidat-uppsats,Sammanfattning : This paper aims to add further research to the field of downside risk, and downside risk measures’ influence on the average returns in the U.S. stock market. LÄS MER
3. Forecasting Swedish Stock Market Volatility and Value-at-Risk: A Comparison of EWMA and GARCH Models
Master-uppsats, Lunds universitet/Nationalekonomiska institutionenSammanfattning : In this study we compare different volatility models on their ability to forecast one day ahead volatility and value-at-risk (VaR). We compare five different GARCH specifications: GARCH, IGARCH, GJR-GARCH, EGARCH and APARCH, as well as EWMA, each paired with six different conditional distributions. LÄS MER