Essays about: "Hybrid Generalized Pareto-Empirical-Generalized Pareto Marginals"

Found 1 essay containing the words Hybrid Generalized Pareto-Empirical-Generalized Pareto Marginals.

  1. 1. 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