Essays about: "quadratic risk"

Showing result 1 - 5 of 17 essays containing the words quadratic risk.

  1. 1. Value at Risk Estimation using GARCH Family Models: A Comparison of Different Specifications and Distributions.

    University essay from Göteborgs universitet/Institutionen för nationalekonomi med statistik

    Author : Khaled Jrideh; [2023-05-26]
    Keywords : ;

    Abstract : The objective of this study is to compare the performance of different GARCH models, under various conditional distribution assumptions, to predict one-day-ahead Value-at-Risk (VaR) for three stocks: Swedbank, Handelsbanken, and SEB over the Covid-19 period. The performance is evaluated using Kupiec, Christoffersen tests and the Quadratic Loss. READ MORE

  3. 2. Sustainability Filtration and Optimization: A Stepwise Integration Approach

    University essay from KTH/Matematik (Avd.)

    Author : Soroosh Jalaei; [2023]
    Keywords : Sustainability; Modern Portfolio Theory; Optimization; Sequential Quadratic Programming; Optimal ESG Portfolio.; Hållbarhet; Modern portföljteori; Optimering; Sequential Quadratic Programming; Optimal ESG-portfölj.;

    Abstract : This thesis explores the integration of sustainability into Modern Portfolio Theory (MPT) optimization by introducing stepwise filtration and optimization. This study acknowledges the growing importance of sustainability in investment strategies and modifies the traditional MPT framework to include environmental, social, and governance (ESG) factors. READ MORE

  4. 3. Battery-Storage Investment for a Power System with High Variable Renewable Energy Output

    University essay from Stockholms universitet/Institutionen för data- och systemvetenskap

    Author : Elva Yunyan Wallimann; [2023]
    Keywords : decision and risk analysis; energy economics; capacity expansion; operations research; utility-scale battery;

    Abstract : Climate change is posing significant threats to human beings. Deploying renewable energy sources in electricity generation is widely accepted as an indispensable part of the solution to climate change. The vast potential lies in variable renewable energy sources, such as solar and wind. READ MORE

  5. 4. Don’t go nuts over nuts : an analysis of policy to reduce water scarcity caused by nuts

    University essay from SLU/Dept. of Economics

    Author : Hanna Vinberg; [2022]
    Keywords : Consumption; demand; dietary change; elasticity; food policy; nuts; water footprint; water scarcity;

    Abstract : The aim of this paper is to investigate the potential possibilities of reducing water scarcity, by targeting the water intensive consumption of nuts. Therefore, the research question is if consumption-based policies can decrease the consumption of nuts in Sweden, in order to reduce water scarcity in sensitive areas. READ MORE

  6. 5. Examining Inclusion of a Sustainability Criterion in Portfolio Optimization - Could an Investor Benefit from it?

    University essay from KTH/Matematik (Avd.)

    Author : Amin Klai; [2021]
    Keywords : Financial Mathematics; Portfolio Optimization; Sustainability; Finansiellmatematik; Portföljteori; Hållbarhet;

    Abstract : In today's society sustainability has become an important subject and has an impact on various sectors. Corporations include sustainability in their corporate strategy, which further affects the field of corporate finance. This has lead to a new insight among investors to include a sustainability criterion in their investment processes. READ MORE