Essays about: "Andreas Prastorfer"

Found 1 essay containing the words Andreas Prastorfer.

  1. 1. Simulation-Based Portfolio Optimization with Coherent Distortion Risk Measures

    University essay from KTH/Matematisk statistik

    Author : Andreas Prastorfer; [2020]
    Keywords : Risk Management; Portfolio Optimization; Conditional Value-at-Risk; Coherent Distortion Riks Measures; Elliptical Distribution; GARCH model; Normal Copulas; Extreme Value Theory; Risk Contributions; Riskhantering; Portföljoptimering; Conditional Value-at-Risk; Koherenta distortionsriskmått; Elliptiska fördelningar; GARCH modeller; Normal-copula; Extremvärdes teori; Riskbidrag;

    Abstract : This master's thesis studies portfolio optimization using linear programming algorithms. The contribution of this thesis is an extension of the convex framework for portfolio optimization with Conditional Value-at-Risk, introduced by Rockafeller and Uryasev. READ MORE