Essays about: "dynamic portfolios"
Showing result 6 - 10 of 27 essays containing the words dynamic portfolios.
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6. On the Value at Risk Forecasting of the Market Risk for Large Portfolios based on Dynamic Factor Models with Multivariate GARCH Specifications
University essay from Uppsala universitet/Statistiska institutionenAbstract : Market risk is the risk of capital loss due to unexpected changes in market prices. One risk measure used to estimate market risk is Value at Risk (VaR). The common historical simulation methodology of VaR forecasting usually does not capture the time-varying volatilities associated with financial data. READ MORE
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7. Establishing the nature of Bitcoin : A DCC-GARCH analysis
University essay from Umeå universitet/FöretagsekonomiAbstract : Since its start in 2008 up until the date of this study, Bitcoin has steadily gained considerablyin popularity. However, the digital cryptocurrency still seems to be surrounded by asubstantial amount of mystery as to whether it deserves a spot in anyone's portfolio. READ MORE
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8. Impact of Transaction costs on dynamic portfolio optimizations : A comparison of active and passive investing in the realm of the Swedish stock market
University essay from Jönköping University/Internationella HandelshögskolanAbstract : A growing number of studies have been conducted in the sphere of portfolio analysis concerning different approaches for analyzing stocks and outperforming the market. Pioneers in the sphere of portfolio theory like William Sharpe and Harry Markowitz have developed strategies and ratios for portfolio analysis that could generate positive risk-adjusted returns. READ MORE
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9. Model for Central Counterparty Risk with Stochastic Default Intensities
University essay from Göteborgs universitet/Graduate SchoolAbstract : In this thesis we use a dynamic model to compute several margins required by a central counterparty, the central clearing house (CCP), to the participants, called clearing members (CM). These margins form the so called default waterfall. In this market only credit default swaps (CDS) are exchanged. READ MORE
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10. Quantitative Portfolio Construction Using Stochastic Programming
University essay from KTH/Matematisk statistikAbstract : In this study within quantitative portfolio optimization, stochastic programming is investigated as an investment decision tool. This research takes the direction of scenario based Mean-Absolute Deviation and is compared with the traditional Mean-Variance model and widely used Risk Parity portfolio. READ MORE