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Showing result 1 - 5 of 7 essays matching the above criteria.

  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

  3. 2. Forecasting Swedish Stock Market Volatility and Value-at-Risk: A Comparison of EWMA and GARCH Models

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Carl Nilsson; [2017]
    Keywords : volatility forecasting; VaR; GARCH; model confidence set; Business and Economics;

    Abstract : 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

  4. 3. Parametric Value-at-Risk in Leptokurtic Distributions

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Lulu Valevie; Patrik Essunger; [2016]
    Keywords : Value-at-Risk; Leptokurtic; Student s t-distribution; Currencies; Commodities;

    Abstract : 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

  5. 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 ekonomi

    Author : Daniil Bargman; [2012]
    Keywords : downside risk; MLPM; Omega; co-skewness; co-kurtosis;

    Abstract : 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

  6. 5. Day-of-the-week eects in stock market data

    University essay from KTH/Matematisk statistik

    Author : Xun Su; Mei Ting Cheung; [2012]
    Keywords : Day-of-the-week effect; Levene s test; Brown-Forsythe test; GARCH; AR; variance test; mean test;

    Abstract : 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