Essays about: "Parik Bergman"
Found 1 essay containing the words Parik Bergman.
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1. Portfolio Optimization : Approaches to determining VaR and CVaR
University essay from KTH/Optimeringslära och systemteoriAbstract : This thesis analyses portfolio optimization using the risk measures VaR and CVaR with two different underlying assumptions of probability distribution of returns; one being that portfolio returns are normal distributed and the other being a discrete distribution comprised of historical data. The models are run through numerous historical simulations on the OMXS30 with varying time period for historical data and rebalance frequencies. READ MORE
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