Essays about: "cVaR"

Showing result 11 - 15 of 26 essays containing the word cVaR.

  1. 11. The Mathematical Formulation and Practical Implementation of Markowitz 2.0

    University essay from Mälardalens högskola/Akademin för utbildning, kultur och kommunikation

    Author : Erick Momanyi; [2017]
    Keywords : ;

    Abstract : Standard Deviation is a commonly used risk measures in risk management and portfolio optimization. Optimal portfolios have normally been computed using standard deviation as the measure of choice for risk. READ MORE

  3. 12. Conditional Value-at-Risk targeted portfolio optimisation

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Dennis Gill; Tim Herzig; [2017]
    Keywords : Conditional Value-at-Risk; Value-at-Risk; Coherent Risk Measures; Portfolio Optimisation; Monte Carlo Simulation;

    Abstract : New financial regulations have constantly forced market participants to adapt to changing rules. Recent regulatory iterations require them to focus on tail risk in portfolios of financial assets. One metric to quantify tail risk in portfolios is the Conditional Value-at-Risk (cVaR). READ MORE

  4. 13. 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

  5. 14. A Comparative Risk Analysis of Bangladesh in the SAARC Region: A Study of Value at Risk

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Md Tazul Islam; [2015]
    Keywords : Value at Risk VaR ; Incremental Value at Risk IVaR ; Components Value at Risk CVaR ; Bangladesh; DSE; SAARC; Business and Economics;

    Abstract : The aim of this study is to find out how much more risky the stock market of Bangladesh is compared to the other South Asian Association of Regional cooperation (SAARC) countries and investigate the role of it in this region from risk perspective. Bangladesh is one of the potential markets for investment among the eight countries of SAARC. READ MORE

  6. 15. 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