Search for dissertations about: "expectile Value-at-Risk"
Found 1 swedish dissertation containing the words expectile Value-at-Risk.
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1. Copula-based Portfolio Optimization
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
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