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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