Essays about: "CVaR"

Showing result 16 - 20 of 26 essays containing the word CVaR.

  1. 16. European Investor Currency Hedging: Forwards or Options in International Portfolios

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Yan Xu; [2014]
    Keywords : international portfolio currency hedging; hedging instruments; currency forward contracts; currency put options; optimal portfolio; CVaR; Business and Economics;

    Abstract : The hedging effectiveness of currency forward contracts and currency put option for three different portfolios—Portfolio of Emerging Markets, Portfolio of Developed Countries, and the International Portfolio—are examined from the viewpoint of European investors. European Union (EU), United States (US), United Kingdom (UK), Switzerland (SF), Sweden (SE), Denmark (DK), Norway (NK), and Japan (JAP) are considered in the developed countries. READ MORE

  3. 17. A quantitative study of optimal asset allocation in a mean-CVaR & mean-variance framework

    University essay from Umeå universitet/Institutionen för matematik och matematisk statistik

    Author : Marcus Nilsson; [2014]
    Keywords : ;

    Abstract : Optimal portfolio selection has been an area of great focus ever since the inception of modern portfolio theory as proposed by Harry Markowitz. This project has applied Markowitz modern portfolio theory to an invest- ment universe created from the output of an economic scenario genera- tor. READ MORE

  4. 18. Forwards versus Options: Effectiveness in Hedging Currency Risk in International Portfolios

    University essay from Lunds universitet/Företagsekonomiska institutionen

    Author : Cecilia Alvarado-Vargas; Khwanchanok Kessakorn; [2013]
    Keywords : Currency Hedging; International Portfolios Diversification; Currency Forward Contracts; Currency Put Options.; Business and Economics;

    Abstract : This paper aims to examine effectiveness of currency hedging of forward contracts and options in international portfolio, consisting of assets denominated in Chinese Yuan and Indian Rupee. Instead of applying Markowitz’s portfolio optimization, mean-CVaR framework is used in order to deal with non-normality of return of financial assets as well as exchange rates. READ MORE

  5. 19. Risk Measures - from theory to an empirical study over time

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Hampus Lingnardz; [2012]
    Keywords : Risk Measures; Value-at-Risk; CVaR; Maximum Draw-down; Risk in Theory; Lower Partial Moments; Business and Economics;

    Abstract : This thesis concerns risk measures in theory and an empirical study of their accuracy in predicting future risks, back-testing them using an out-of-sample study with a rolling window scheme. The theoretical part includes a general presentation of risk, covers various risk measures – dispersion measures and safety measures – and attempts to sort out their advantages and disadvantages. READ MORE

  6. 20. Exploring the properties of CVaR and Mean-Variance for portfolio optimization

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Peter Bengtsson; [2010]
    Keywords : Portfolio Optimization; CVaR; Variance; MVP; Business and Economics;

    Abstract : In this thesis some of the properties of Conditional Value at Risk and Mean-Variance for portfolio optimization are explored, from a particularly practical perspective. The portfolio optimizations are performed for data in two different time periods: 2006 and 2008. READ MORE