Essays about: "Elliptiska fördelningar"

Found 3 essays containing the words Elliptiska fördelningar.

1. 1. 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

3. 2. 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

4. 3. Risk contribution and its application in asset and risk management for life insurance

   University essay from KTH/Matematisk statistik

   Author : Jesper Sundin; [2016]
   Keywords : Risk contribution; capital allocation; Value-at-Risk; elliptical distri-bution; multivariate log-normal distribution; kernel estimation;

   Abstract : In risk management one important aspect is the allocation of total portfolio risk into its components. This can be done by measuring each components' risk contribution relative to the total risk, taking into account the covariance between components. READ MORE