Essays about: "portfolio optimization conditional var"

Found 3 essays containing the words portfolio optimization conditional var.

  1. 1. 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. 2. 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

  4. 3. Portfolio Optimization with CVaR

    University essay from Institutionen för matematik och matematisk statistik

    Author : Mikko Lappalainen; [2008]
    Keywords : ;

    Abstract : In times of great insecurity and turbulence on every major stock exchange, it is evident that controlling the risks in ones investment strategies is an important issue for the entire global economy. Perhaps there is no such thing as a golden rule on how to manage a portfolio, but history shows that focusing too much on the return is risky business. READ MORE