Essays about: "Elliptical Distributions"

Showing result 1 - 5 of 10 essays containing the words Elliptical Distributions.

1. 1. Copula approach to fitting bivariate time series

   University essay from Lunds universitet/Matematisk statistik

   Author : Jun Wang; [2023]
   Keywords : VaR; Copula; ARMA-GARCH; Extreme Value Theory; GPD; Hill estimator; Mathematics and Statistics;

   Abstract : We apply the GARCH-copula method to estimate Value at Risk (VaR) for European and Stockholm stock indices. First, marginal distributions are estimated by the ARMA-GARCH model with normal, Student-t, and skewed t distributions. READ MORE

3. 2. Efficient Sampling of Gaussian Processes under Linear Inequality Constraints

   University essay from Linköpings universitet/Statistik och maskininlärning

   Author : Bayu Beta Brahmantio; [2021]
   Keywords : Gaussian process; truncated multivariate Gaussian; Hamiltonian Monte Carlo; Elliptical Slice Sampling;

   Abstract : In this thesis, newer Markov Chain Monte Carlo (MCMC) algorithms are implemented and compared in terms of their efficiency in the context of sampling from Gaussian processes under linear inequality constraints. Extending the framework of Gaussian process that uses Gibbs sampler, two MCMC algorithms, Exact Hamiltonian Monte Carlo (HMC) and Analytic Elliptical Slice Sampling (ESS), are used to sample values of truncated multivariate Gaussian distributions that are used for Gaussian process regression models with linear inequality constraints. READ MORE

4. 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

5. 4. Evaluation of the Robustness of Different Classifiers under Low- and High-Dimensional Settings

   University essay from Uppsala universitet/Statistiska institutionen

   Author : Linnea Lantz; [2019]
   Keywords : LDA; QDA; DLDA; DQDA; GQDA;

   Abstract : This thesis compares the performance and robustness of five different varities of discriminant analysis, namely linear (LDA), quadratic (QDA), generalized quadratic (GQDA), diagonal linear (DLDA) and diagonal quadratic (DQDA) discriminant analysis, under elliptical distributions and small sample sizes.  By means of simulations, the performance of the classifiers are compared against separation of mean vectors, sample size, number of variables, degree of non-normality and covariance structures. READ MORE

6. 5. Robust portfolio optimization with Expected Shortfall

   University essay from KTH/Matematisk statistik

   Author : Daniel Isaksson; [2016]
   Keywords : Robust Portfolio Optimization; Risk Management; Expected Shortfall; Elliptical Distributions; GARCH model; Normal Copula; Hybrid Generalized Pareto-Empirical-Generalized Pareto Marginals; Markowitz Mean-Variance Optimization; Contribution Expected Shortfall;

   Abstract : This thesis project studies robust portfolio optimization with Expected Short-fall applied to a reference portfolio consisting of Swedish linear assets with stocks and a bond index. Specifically, the classical robust optimization definition, focusing on uncertainties in parameters, is extended to also include uncertainties in log-return distribution. READ MORE