Essays about: "conditional copulas"

Showing result 1 - 5 of 11 essays containing the words conditional copulas.

1. 1. Copula modeling for Portfolio Return Analysis

   University essay from KTH/Matematik (Avd.)

   Author : Markus Gustafsson; [2023]
   Keywords : applied mathematics; copulas; tillämpad matematik; copulas;

   Abstract : In this thesis, we investigate the advantages of using high-dimensional copula modeling to understand the riskiness of portfolio investments and to more realistically estimate future portfolio values. Our approach involves benchmarking some pre-determined fitted copulas to the 0. READ MORE

3. 2. A short bit on copulas and alternative versions of Spearmans rho

   University essay from Lunds universitet/Matematisk statistik

   Author : Filip Carlsson; [2023]
   Keywords : Mathematics and Statistics;

   Abstract : This thesis aims to understand copula theory and its application in measuring dependence, particularly in the context of the paper "Multivariate conditional versions of Spearman’s rho and related measures of tail dependence" by Schmid and Schmidt. We clarify certain statements and formulas in Schmid and Schmidt's work, explore the potential of the conditional version of Spearman's rho, and demonstrate empirical versions of copulas and Spearman's rho using a bivariate normal distribution. READ MORE

4. 3. 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

5. 4. Simulation-Based Portfolio Optimization with Coherent Distortion Risk Measures

   University essay from KTH/Matematisk statistik

   Author : Andreas Prastorfer; [2020]
   Keywords : Risk Management; Portfolio Optimization; Conditional Value-at-Risk; Coherent Distortion Riks Measures; Elliptical Distribution; GARCH model; Normal Copulas; Extreme Value Theory; Risk Contributions; Riskhantering; Portföljoptimering; Conditional Value-at-Risk; Koherenta distortionsriskmått; Elliptiska fördelningar; GARCH modeller; Normal-copula; Extremvärdes teori; Riskbidrag;

   Abstract : This master's thesis studies portfolio optimization using linear programming algorithms. The contribution of this thesis is an extension of the convex framework for portfolio optimization with Conditional Value-at-Risk, introduced by Rockafeller and Uryasev. READ MORE

6. 5. Dependence structure and risk spillovers between real estate and stock markets: An application of VMD based time-varying copula approach

   University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Author : Ran Tao; Xin Yuan; [2018]
   Keywords : Time varying copula; Variational mode decomposition; Risk spillovers; CoVaR; delta CoVaR;

   Abstract : In this thesis, we combine copulas with the variational mode decomposition (VMD) method to explore the dependence structure between real estate and stock market in three countries, namely China, U.S. and Australia. READ MORE