Tail risk measures for portfolio optimization: a GARCH approach

Pieralli, Guido (A.A. 2023/2024) Tail risk measures for portfolio optimization: a GARCH approach. Tesi di Laurea in Econometric theory, Luiss Guido Carli, relatore Paolo Santucci de Magistris, pp. 41. [Master's Degree Thesis]

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Abstract/Index

Financial risk measures. Value at risk. Expected shortfall. Estimating expected shortfall and value at risk. GARCH models. Univariate GARCH(q,p). Multivariate GARCH(q,p). Copula GARCH with skewed marginals. Optimization framework. Empirical application. General framework. Results.

References

Bibliografia: pp. 38-40.

Thesis Type: Master's Degree Thesis
Institution: Luiss Guido Carli
Degree Program: Master's Degree Programs > Master's Degree Program in Economics and Finance (LM-56)
Chair: Econometric theory
Thesis Supervisor: Santucci de Magistris, Paolo
Thesis Co-Supervisor: Borri, Nicola
Academic Year: 2023/2024
Session: Autumn
Deposited by: Alessandro Perfetti
Date Deposited: 22 May 2025 14:47
Last Modified: 22 May 2025 14:47
URI: https://tesi.luiss.it/id/eprint/42223

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