Essays about: "Dependence"

Showing result 1 - 5 of 785 essays containing the word Dependence.

  1. 1. Enhancing ESG-Risk Modelling - A study of the dependence structure of sustainable investing

    University essay from KTH/Matematisk statistik; KTH/Matematisk statistik

    Author : Edvin Berg; Karl Wilhelm Lange; [2020]
    Keywords : ESG; Sustainable Investing; Dependency Structure; Correlation; Risk; Random Matrix Theory; Eigenvalue; Eigenvalue Decomposition; Minimum Variance Portfolio; ESG; Hållbar Investering; Beroendestruktur; Korrelation; Stokastisk Matristeori; Egenvärden; Egenvärdes Dekomposition; Minimal Variansportfölj;

    Abstract : The interest in sustainable investing has increased significantly during recent years. Asset managers and institutional investors are urged to invest more sustainable from their stakeholders, reducing their investment universe. READ MORE

  2. 2. Distributional Dynamics of Fama-French Factors in European Markets

    University essay from KTH/Matematisk statistik

    Author : Wilmer Löfgren; [2020]
    Keywords : Fama-French factors; NGARCH; Copula; Value-at-Risk; Risk model evaluation; Fama-French-faktorer; NGARCH; Copula; Value-at-Risk; Utvärdering av riskmodeller;

    Abstract : The three-factor model of Fama and French has proved to be a seminal contribution to asset pricing theory, and was recently extended to include two more factors, yielding the Fama-French five-factor model. Other proposed augmentations of the three-factor model includes the introduction of a momentum factor by Carthart. READ MORE

  3. 3. 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

  4. 4. Optimal financial resources for Central Counterparties: Introducing default dependence of clearing members: a mixed binomial approach

    University essay from Göteborgs universitet/Graduate School

    Author : Leonardo Di Geronimo; [2019-07-02]
    Keywords : Central Counterparties; Risk Management; Merton Model; Mixed Binomial Model; Merton Mixed Binomial Model; Initial Margin; Default Fund;

    Abstract : MSc in Finance.... READ MORE

  5. 5. MODELING CAPITAL ASSET RETURNS ON THE SWEDISH STOCK MARKET - An evaluation of Fama French’s Five Factor Model against its predecessors

    University essay from Lunds universitet/Statistiska institutionen

    Author : Kristoffer Bergram; Ludvig Göransson; [2019]
    Keywords : asset pricing modeling; time series regression; statistics; Fama French Five Factor model; Carhart Four Factor model; Fama French Three Factor model; Swedish stock market; portfolio theory; behavioral economics; Mathematics and Statistics; Business and Economics;

    Abstract : This thesis compared the explanatory rate of three asset pricing models related to excess returns on the Swedish stock market. A more granular evaluation of each model’s factors was also conducted. A random sample of 90 companies was drawn from the Stockholm Stock Exchange (N = 371) using a Blomberg terminal. READ MORE