Essays about: "Polina Kuznetsova"

Found 1 essay containing the words Polina Kuznetsova.

  1. 1. Portfolio Optimization using the Entropic Value-at-Risk: An Investor Preference Approach

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Kevin Fabian Kühn; Polina Kuznetsova; [2020]
    Keywords : Mean-variance framework; entropic value-at-risk; utility functions; risk preference; portfolio optimization; Business and Economics;

    Abstract : It is very important for an investor to choose an accurate and effective risk measure when optimizing a portfolio of different assets. Recently, in addition to the standard risk measures such as variance or Value-at-Risk (VaR), more developed risk measures have emerged and one of them is the entropic Value-at-Risk (EVaR). READ MORE