Essays about: "Erik BrÖte"

Found 2 essays containing the words Erik BrÖte.

  1. 1. Duration-Weighted Carbon Footprint Metrics and Carbon Risk Factor for Credit Portfolios

    University essay from KTH/Matematisk statistik

    Author : Erik Hendey Bröte; [2020]
    Keywords : Factor models; carbon footprint; risk factors; carbon risk; Faktormodeller; koldioxidsavtryck; riskfaktorer; kolrisk;

    Abstract : Current standard carbon footprint metrics attribute responsibility for a firm’s green house gas (GHG) emitting activities equally between an entity’s equity and debt. This study introduces a set of novel duration-weighted metrics which take into consideration the length of financing provided. READ MORE

  3. 2. Implementation of mean-variance and tail optimization based portfolio choice on risky assets

    University essay from KTH/Skolan för teknikvetenskap (SCI)

    Author : Younes Djehiche; Erik Bröte; [2016]
    Keywords : Markowitz mean-variance; Tail optimization; Portfolio optimization; Efficient frontier; Value-at-Risk; t-copula;

    Abstract : An asset manager's goal is to provide a high return relative the risk taken, and thus faces the challenge of how to choose an optimal portfolio. Many mathematical methods have been developed to achieve a good balance between these attributes and using di erent risk measures. READ MORE