Essays about: "cVaR"

Showing result 6 - 10 of 26 essays containing the word cVaR.

  1. 6. 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. 7. Allocation of Alternative Investments in Portfolio Management. : A Quantitative Study Considering Investors' Liquidity Preferences

    University essay from KTH/Matematik (Avd.)

    Author : Kamyar Espahbodi; Roumi Roumi; [2021]
    Keywords : Shadow Allocations; Liquidity; Illiquidity; Alternative Assets; Liquid Assets; Illiquid Assets; Investor Preferences; Monte Carlo Simulations; Tangency Portfolio; Global Minimum Risk Portfolio; Skuggallokeringar; Likviditet; Illikviditet; Alternativa Tillgångar; Likvida Tillgångar; Illikvida Tillgångar; Investerarpreferenser; Monte Carlo-Simuleringar; Tangentportföljen; Minimiriskportföljen;

    Abstract : Despite the fact that illiquid assets pose several difficulties regarding portfolio allocation problems for investors, more investors are increasing their allocation towards them. Alternative assets are characterized as being harder to value and trade because of their illiquidity which raises the question of how they should be managed from an allocation optimization perspective. READ MORE

  4. 8. Capturing Tail Risk in a Risk Budgeting Model

    University essay from KTH/Matematisk statistik

    Author : Filip Lundin; Markus Wahlgren; [2020]
    Keywords : ;

    Abstract : Risk budgeting, in contrast to conventional portfolio management strategies, is all about distributing the risk between holdings in a portfolio. The risk in risk budgeting is traditionally measured in terms of volatility and a Gaussian distribution is commonly utilized for modeling return data. READ MORE

  5. 9. Optimization of Virtual Power Plantin Nordic Electricity Market

    University essay from KTH/Skolan för elektroteknik och datavetenskap (EECS)

    Author : Jwalith Desu; [2019]
    Keywords : Virtual Power Plant; mFRR market; spot market; CVaR; risk measures; Stochastic Optimization; Nordic Electricity Market;

    Abstract : With the world becoming more conscious about achieving 1.5-degree scenario as promisedby the most powerful economies of the world, much needed push was received by the renewable energy technology providers. READ MORE

  6. 10. Investing in Sustainable Stocks - An Empirical Evaluation of Large Public Companies in Sweden

    University essay from

    Author : Andreas Bengtsson; Jakob Johnson; [2018-07-09]
    Keywords : Sustainability; Investing; Risk-Adjusted Returns; Standard Risk; Tail Risk;

    Abstract : This thesis investigates if investing in a sustainable index yields higher risk-adjusted returns than investing in an ordinary index. Return data from the Swedish stock index OMXS30 was collected, spanning the period 2006-2017. READ MORE