Essays about: "Holm Greta"

Found 1 essay containing the words Holm Greta.

  1. 1. Considering Tail Events in Hedge Fund Portfolio Optimization

    University essay from Linköpings universitet/Produktionsekonomi

    Author : Josefin Bladh; Holm Greta; [2021]
    Keywords : Portfolio Optimization; Hedge Funds; Tail Events; Mean-CVaR;

    Abstract : 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. READ MORE