Essays about: "Parik Bergman"

Found 1 essay containing the words Parik Bergman.

  1. 1. Portfolio Optimization : Approaches to determining VaR and CVaR

    University essay from KTH/Optimeringslära och systemteori

    Author : Parik Bergman; Viktor Sonebäck; [2015]
    Keywords : ;

    Abstract : 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