Essays about: "Mean-CVaR"

Found 4 essays containing the word Mean-CVaR.

1. 1. Considering Tail Events in Hedge Fund Portfolio Optimization

   University essay from Linköpings universitet/Produktionsekonomi

   Author : Josefin Bladh; Holm Greta; [2021]
   Keywords : Portfolio Optimization; Hedge Funds; Tail Events; Mean-CVaR;

   Abstract : The Fourth Swedish National Pension Fund (AP4), as well as many other large investors, has noted deficiencies the Mean-Variance framework for portfolio management of asset with non-normal characteristics. The main problem apparent in the Mean-Variance framework, when investing in alternative assets such as hedge funds, is the lacking systematic control of the balance between the measurements of risk due normal variation and tail-risk. READ MORE

3. 2. A quantitative study of optimal asset allocation in a mean-CVaR & mean-variance framework

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

   Author : Marcus Nilsson; [2014]
   Keywords : ;

   Abstract : Optimal portfolio selection has been an area of great focus ever since the inception of modern portfolio theory as proposed by Harry Markowitz. This project has applied Markowitz modern portfolio theory to an invest- ment universe created from the output of an economic scenario genera- tor. READ MORE

4. 3. Forwards versus Options: Effectiveness in Hedging Currency Risk in International Portfolios

   University essay from Lunds universitet/Företagsekonomiska institutionen

   Author : Cecilia Alvarado-Vargas; Khwanchanok Kessakorn; [2013]
   Keywords : Currency Hedging; International Portfolios Diversification; Currency Forward Contracts; Currency Put Options.; Business and Economics;

   Abstract : This paper aims to examine effectiveness of currency hedging of forward contracts and options in international portfolio, consisting of assets denominated in Chinese Yuan and Indian Rupee. Instead of applying Markowitz’s portfolio optimization, mean-CVaR framework is used in order to deal with non-normality of return of financial assets as well as exchange rates. READ MORE

5. 4. Comparing Return-Risk and Direct Utility Maximization Portfolio Optimization Methods by ‘Certainty Equivalence Curves’

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Hien Vu; [2009]
   Keywords : Portfolio Optimization Return Risk Direct Utility Maximization CE; Economics; econometrics; economic theory; economic systems; economic policy; Nationalekonomi; ekonometri; ekonomisk teori; ekonomiska system; ekonomisk politik; Business and Economics;

   Abstract : Mean-Risk portfolio optimization method proposes an efficient frontier that consists of portfolios not dominated by any portfolio. Consequently, this method reduces the choice set by excluding inefficient portfolios. Different risk measures offer different efficient frontiers, which can be interpreted as different optimal choice sets. READ MORE