Search for dissertations about: "Vilhelm Niklasson"

Found 1 swedish dissertation containing the words Vilhelm Niklasson.

2. 1. Bayesian portfolio selection and risk estimation

   Author : Vilhelm Niklasson; Taras Bodnar; Andreas Stephan; Stockholms universitet; []
   Keywords : NATURVETENSKAP; NATURAL SCIENCES;

   Abstract : This thesis concerns portfolio theory from a Bayesian perspective and it includes two papers related to this theme. In the first paper, optimal portfolio weights are derived from a Bayesian perspective to the problem of minimizing the portfolio risk in terms of value at risk (VaR) or conditional value at risk (CVaR) given a certain level of expected return. READ MORE