Essays about: "CVaR"

Showing result 21 - 25 of 26 essays containing the word CVaR.

  1. 21. Portfolio Optimization -The Mean-Variance and CVaR approach

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Sixten Fagerström; Gustav Oddshammar; [2010]
    Keywords : Mean-Variance; CVaR; Portfolio Optimization; Volatility risk; Sharpe-ratio; Business and Economics;

    Abstract : The recent economic turmoil has increased volatility on the Swedish stock market and made investors more exposed to risk in an uncertain environment. This research will investigate if the quantitative portfolio optimization models Mean-Variance and CVaR can produce risk-adjusted returns for investors acting in the Swedish stock market. READ MORE

  3. 22. Comparing Return-Risk and Direct Utility Maximization Portfolio Optimization Methods by ‘Certainty Equivalence Curves’

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Hien Vu; [2009]
    Keywords : Portfolio Optimization Return Risk Direct Utility Maximization CE; Economics; econometrics; economic theory; economic systems; economic policy; Nationalekonomi; ekonometri; ekonomisk teori; ekonomiska system; ekonomisk politik; Business and Economics;

    Abstract : Mean-Risk portfolio optimization method proposes an efficient frontier that consists of portfolios not dominated by any portfolio. Consequently, this method reduces the choice set by excluding inefficient portfolios. Different risk measures offer different efficient frontiers, which can be interpreted as different optimal choice sets. READ MORE

  4. 23. Portfolio Optimization with CVaR

    University essay from Institutionen för matematik och matematisk statistik

    Author : Mikko Lappalainen; [2008]
    Keywords : ;

    Abstract : In times of great insecurity and turbulence on every major stock exchange, it is evident that controlling the risks in ones investment strategies is an important issue for the entire global economy. Perhaps there is no such thing as a golden rule on how to manage a portfolio, but history shows that focusing too much on the return is risky business. READ MORE

  5. 24. Modelling Operational Risk using Actuarial Methods

    University essay from Institutionen för matematik och matematisk statistik

    Author : Marcus Larneback; [2006]
    Keywords : ;

    Abstract : Within the financial industry Operational Risk is a relatively new concept, but within recent years it has gained more attention due to prior economically devastating events; these are events that cannot be categorized as market- or credit risks. The purpose of this thesis is to study the Loss Distribution Approach(LDA). READ MORE

  6. 25. Robustness of Conditional Value-at-Risk (CVaR) for Measuring Market Risk

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Mattias Letmark; Markus Ringström; [2006]
    Keywords : CVaR; VaR; Robustness; Market risk; Backtesting;

    Abstract : In this thesis the risk measure Conditional Value-at-Risk (CVaR) is studied in terms of robustness and whether it is an unbiased measure. The scope of the study is market risk. READ MORE