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Found 2 essays matching the above criteria.

1. 1. Modelling Dependency Structure with Application in Financial Markets: Copula-GARCH(1,1) Approach

   University essay from Linnéuniversitetet/Institutionen för matematik (MA)

   Author : Than Trang; [2021]
   Keywords : Copula-GARCH 1; 1 ;

   Abstract : The main objective of this thesis is to examine the dependency structure among different agricultural and energy commodity markets in the United States. For achieving this goal, the paper makes use of the Copula-GARCH(1,1) model to study the financial return volatility and the co-movement between pair of commodities including corn, soybean and gasoline over the pre-COVID 19 pandemic period (from 01-01-2018 to 01-01-2020) and the ongoing COVID 19 pandemic period (from 01-01-2020 to 01-04-2021). READ MORE

3. 2. Quantitative Portfolio Construction Using Stochastic Programming

   University essay from KTH/Matematisk statistik

   Author : Aidin Ashant; Elisabeth Hakim; [2018]
   Keywords : Asset Allocation; Dynamic Portfolio Construction; Stochastic Programming; Scenario Generation; Multivariate GARCH; DCC-GARCH; Copula-GARCH; Transaction Costs; Mean-Absolute Deviation; Risk Parity; Mean-Variance; Tillgångsallokering; Dynamisk Portfölj Konstruktion; Stokastisk Programmering; Scenario Generation; Multivariat GARCH; DCC-GARCH; Copula- GARCH; Transaktionskostnader; Mean-Absolute Deviation; Risk Parity; Mean-Variance;

   Abstract : In this study within quantitative portfolio optimization, stochastic programming is investigated as an investment decision tool. This research takes the direction of scenario based Mean-Absolute Deviation and is compared with the traditional Mean-Variance model and widely used Risk Parity portfolio. READ MORE