Essays about: "Joakim Wargclou"

Found 1 essay containing the words Joakim Wargclou.

  1. 1. Does copula beat linearity? : Comparison of copulas and linear correlation in portfolio optimization.

    University essay from Umeå universitet/Institutionen för matematik och matematisk statistik

    Author : Joakim Blom; Joakim Wargclou; [2016]
    Keywords : Copula; Portfolio Optimization; Extreme Value Theory; CVaR Optimization;

    Abstract : Modern portfolio theory (MPT) is an investment theory which was introduced by Harry Markowitz in 1952 and describes how risk averse investors can optimize their portfolios. The objective of MPT is to assemble a portfolio by maximizing the expected return given a level of market risk or minimizing the market risk given an expected return. READ MORE