Implementation of mean-variance and tail optimization based portfolio choice on risky assets
An asset manager's goal is to provide a high return relative the risk taken, and thus faces the challenge of how to choose an optimal portfolio. Many mathematical methods have been developed to achieve a good balance between these attributes and using di erent risk measures. In thisthesis, we t...
| Main Authors: | , |
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| Format: | Others |
| Language: | English |
| Published: |
KTH, Skolan för teknikvetenskap (SCI)
2016
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| Subjects: | |
| Online Access: | http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-198071 |