Essays about: "Hybrid Generalized Pareto-Empirical-Generalized Pareto Marginals"
Found 1 essay containing the words Hybrid Generalized Pareto-Empirical-Generalized Pareto Marginals.
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1. Robust portfolio optimization with Expected Shortfall
University essay from KTH/Matematisk statistikAbstract : 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
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