Robust portfolio optimization with Expected Shortfall

Robust portfolio optimization with Expected Shortfall

This thesis project studies robust portfolio optimization with Expected Short-fall applied to a reference portfolio consisting of Swedish linear assets with stocks and a bond index. Specifically, the classical robust optimization definition, focusing on uncertainties in parameters, is extended to al...

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Bibliographic Details
Main Author: Isaksson, Daniel
Format: Others
Language:English
Published: KTH, Matematisk statistik 2016
Subjects:
Robust Portfolio Optimization
Risk Management
Expected Shortfall
Elliptical Distributions
GARCH model
Normal Copula
Hybrid Generalized Pareto-Empirical-Generalized Pareto Marginals
Markowitz Mean-Variance Optimization
Contribution Expected Shortfall
Online Access:http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-187888

Internet

http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-187888

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