Essays about: "Conditional Variance"

Showing result 6 - 10 of 75 essays containing the words Conditional Variance.

  1. 6. Portfolio Diversification with Commodities : From a Swedish Perspective

    University essay from Linköpings universitet/Nationalekonomi; Linköpings universitet/Filosofiska fakulteten

    Author : Simon Derenkow; Max Walméus; [2022]
    Keywords : Commodities; DCC-GARCH; OMXSPI; Inflation; Correlation; Diversification; Modern Portfolio Theory;

    Abstract : This paper investigates the diversification characteristics of commodities in relation to the Swedish equity index OMXSPI. Much of the previous literature concludes that gold and oil possess diversification or hedging properties against the US equity markets. READ MORE

  3. 7. Towards Deep Learning Accelerated Sparse Bayesian Frequency Estimation

    University essay from Lunds universitet/Matematisk statistik

    Author : Mika Persson; [2022]
    Keywords : Bayesian Statistics; Deep Learning; Frequency Estimation; Generative Adversarial Networks; Artificial Neural Networks; Statistical Modelling; Mathematics and Statistics;

    Abstract : The Discrete Fourier Transform is the simplest way to obtain the spectrum of a discrete complex signal. This thesis concerns the case when the signal is known to contain a small (unknown) number of frequencies, not limited to the discrete Fourier frequencies, embedded in complex Gaussian noise. READ MORE

  4. 8. How to Get Rich by Fund of Funds Investment - An Optimization Method for Decision Making

    University essay from Mälardalens universitet/Akademin för utbildning, kultur och kommunikation

    Author : Sabina Colakovic; [2022]
    Keywords : Modern Portfolio Theory; Markowitz Model; Mean-Variance Optimization; Valueat-Risk; Conditional Value-at-Risk; Geometric Mean Return; Efficient Frontier; Portfolio Optimization; Markowitz 2.0;

    Abstract : Optimal portfolios have historically been computed using standard deviation as a risk measure.However, extreme market events have become the rule rather than the exception. To capturetail risk, investors have started to look for alternative risk measures such as Value-at-Risk andConditional Value-at-Risk. READ MORE

  5. 9. 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

  6. 10. Value at Risk Estimation with Generative Adversarial Networks

    University essay from Lunds universitet/Statistiska institutionen

    Author : David Tobjörk; [2021]
    Keywords : generative adversarial networks value at risk finance machine learning neural networks; Mathematics and Statistics;

    Abstract : Risk is of large importance for financial institutions and there are many different measures that can be used. A popular one is value at risk (VaR), which is the maximum likely loss for a portfolio of financial assets. Different methods of estimating it has been suggested, one often described is the variance-covariance method. READ MORE