Essays about: "Conditional Skewness"
Showing result 1 - 5 of 7 essays containing the words Conditional Skewness.
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1. Considering Tail Events in Hedge Fund Portfolio Optimization
University essay from Linköpings universitet/ProduktionsekonomiAbstract : 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
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2. Forecasting Swedish Stock Market Volatility and Value-at-Risk: A Comparison of EWMA and GARCH Models
University essay from Lunds universitet/Nationalekonomiska institutionenAbstract : 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. READ MORE
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3. Parametric Value-at-Risk in Leptokurtic Distributions
University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiAbstract : Value-at-risk offers a quick estimate of the market risk exposure inherent in an asset or portfolio. A wide range of value-at-risk methods exist, which differ slightly in the estimation procedures and their assumptions. READ MORE
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4. Think on the Downside: Multifactor asset pricing models based on downside risk and their performance relative to the CAPM, FF3F and Momentum
University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiAbstract : This paper introduces two new measures of asset performance in a downside risk--reward framework. The first measure, Omega--H, is an extension of the Omega ratio from Keating and Shadwick (2002a) that captures an asset's idiosyncratic downside risk and upside potential. READ MORE
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5. Day-of-the-week eects in stock market data
University essay from KTH/Matematisk statistikAbstract : The purpose of this thesis is to investigate day-of-the-week effects for stock index returns. The investigations include analysis of means and variances as well as return-distribution properties such as skewness and tail behavior. READ MORE