Search for dissertations about: "Downside Risk"

Showing result 1 - 5 of 14 swedish dissertations containing the words Downside Risk.

2. 1. Empirical Studies on Economic and Financial Spillovers : Asymmetric Risk and Dependence Modeling

   Author : Axel Hedström; Gazi Salah Uddin; Ali M. Ahmed; Ugur Soytas; Linköpings universitet; []
   Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Spillovers; systemic risk; risk modeling; risk dependence; asymmetric risk; energy finance; Spillovers; systemisk risk; riskmodellering; risk påverkan; asymmetrisk risk; energifinans;

   Abstract : Financial assets are volatile, and volatility becomes more intense in terms of size and rate of recurrence when markets are uncertain and growing rapidly. The fact that the recurrence rate increased during crisis periods, such as the IT bubble in the early 2000 and the global financial crisis that started in 2007, is a key finding in the literature. READ MORE

4. 2. Portfolio Selection and the Analysis of Risk and Time Diversification

   Author : Mattias Persson; Nationalekonomiska institutionen; []
   Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; economic policy; economic systems; economic theory; econometrics; Economics; Lower Partial Moment; Portfolio Selection; Parameter Uncertainty; Time Diversification; Bootstrap; Downside Risk; Estimation Risk; Nationalekonomi; ekonometri; ekonomisk teori; ekonomiska system; ekonomisk politik; Financial science; Finansiering;

   Abstract : This thesis is devoted to the analysis of three important issues in financial economics in general and portfolio selection in particular: the risk measure, estimation risk and time diversification. Besides a short introductory chapter the thesis consists of four empirical essays. READ MORE

5. 3. Essays on Financial Market Interdependence

   Author : Lu Liu; Nationalekonomiska institutionen; []
   Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Stock markets; commodity futures; extreme downside risk; regime-switching; correlations; diversification; market linkages; heterogeneity; EMU stock markets; dynamic panel data;

   Abstract : This thesis aims at investigating the risk spillover and correlations among national stock markets, and the structure of dependence between stocks and commodity futures. It consists of four chapters. Chapter 1 briefly reviews the literature background of financial market interdependence and summarizes the contribution of the thesis. READ MORE

6. 4. Essays on Inequality, Insolvency and Innovation

   Author : Paula Roth; Erik Lindqvist; Uppsala universitet; []
   Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Inequality; Relative Deprivation; Consumption; Household Debt; Risk-sharing; Social Comparison; Status; Conspicuous Consumption; Innovation; Occupational Choice; Insolvency; Entrepreneurship; Economics; Nationalekonomi;

   Abstract : First Impressions Last – Does Inequality Increase Status Consumption and Household Debt? (with Elin Molin): Recent decades have seen an increase in income inequality and household debt-to-GDP ratios in many countries, and several studies have suggested that higher income inequality spurs borrowing among nonrich households through their preference to "Keep up with the Joneses". In this paper, we show that standard Keeping up with the Joneses utility functions cannot generate this relationship unless one imposes the implausible assumption that the rich are more impatient than the nonrich. READ MORE

7. 5. Copula-based Portfolio Optimization

   Author : Maziar Sahamkhadam; Andreas Stephan; Håkan Locking; Ranadeva Jayasekera; Linnéuniversitetet; []
   Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Copula; portfolio optimization; conditional Value-at-Risk; vine copulas; asymmetric tail dependence; Black-Litterman approach; expectile Value-at-Risk; multiobjective portfolios; Business administration; Företagsekonomi;

   Abstract : This thesis studies and develops copula-based portfolio optimization. The overall purpose is to clarify the effects of copula modeling for portfolio allocation andsuggest novel approaches for copula-based optimization. The thesis is a compilation of five papers. READ MORE