Essays about: "mean-ES trade-off"

Found 1 essay containing the words mean-ES trade-off.

  1. 1. Analysis of Copula Opinion Pooling with Applications to Quantitative Portfolio Management

    University essay from KTH/Matematisk statistik

    Author : Rickard Bredeby; [2015]
    Keywords : Copula opinion pooling; copulas; t copula; views; tail dependence; maximum likelihood; VaR; ES; mean-ES trade-off; portfolio theory; portfolio management; allocation; kernel estimation; correlation.;

    Abstract : In 2005 Attilio Meucci presented his article Beyond Black-Litterman: Views on Non-Normal Markets which introduces the copula opinion pooling approach using generic non-normal market assumptions. Copulas and opinion pooling are used to express views on the market which provides a posterior market distribution that smoothly blends an arbitrarily distributed market prior distribution with arbitrarily chosen views. READ MORE