Portfolio optimization using CVaR

Forghieri, Simone (A.A. 2013/2014) Portfolio optimization using CVaR. Tesi di Laurea in Mathematical finance, LUISS Guido Carli, relatore Marco Papi, pp. 60. [Bachelor's Degree Thesis]

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Abstract/Index

Dataset. CVaR algorithm. Generating future return scenarios. Goodness of fit. Portfolio optimization.

References

Bibliografia: pp. 47-48.

Thesis Type: Bachelor's Degree Thesis
Institution: LUISS Guido Carli
Degree Program: Bachelor's Degree Programs > Bachelor's Degree Program in Economics and Business, english language (L-33)
Chair: Mathematical finance
Thesis Supervisor: Papi, Marco
Academic Year: 2013/2014
Session: Summer
Deposited by: Maria Teresa Nisticò
Date Deposited: 10 Sep 2014 12:52
Last Modified: 20 Nov 2018 11:23
URI: https://tesi.luiss.it/id/eprint/12528

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