The efficient frontier, in the shape of hyperbola, highlights a set of optimal portfolios with the greatest expected return given a risk level, or those with lowest risk level for

A primer on risk budgets CVaR budgets as objective or constraint in portfolio allocation Dynamic portfolio allocation Dynamic strategies Data Conclusion Appendix.. Dynamic

Licensed under Creative Common Page 17 On the factors that influence a bank workers decision to demand for life insurance or not, gender, marital status,

In this paper, we proved some fixed point theorems in intuitionistic fuzzy metric spaces applying the properties of weakly compatible mapping and satisfying the concept of

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the model comparison of portfolio formed under Mean-CVaR, Mean-CVaR-Skewness, Mean-CVaR-Kurtosis vs Benchmark the cumulative return performance of alternative model formed

MVC model of portfolio optimization (which employs mean, variance and CVaR) is shown to give better results than current risk measure of portfolio (see Chapter

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Week 7 (February 16) Modeling Continued • Using GAMS with Excel and MATLAB.. • Application: Portfolio optimization VaR and CVaR

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The decline in UK retail sales slowed during the first part of 2013, with the horsemeat scandal generating 

Optimal Asset Allocation: Figure 1 illustrates optimal asset allocations obtained by solving the CVaR optimization model (left) at different targeted wealth and the robust

With regard to determining the appropriate copula function for measuring dependence between TEPIX and BIST 100 return, the estimation of value of the Conditional

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Since portfolios on the robust mean- CVaR actual frontiers with interval and ellipsoidal uncertainty sets are less diversified, they should accept more risk for a

The second part of the document concerns the market study I carried out to understand how consumers perceive ethical companies, how they choose their mobile operator

Forecasting value-at-risk with a parsimonious portfolio spillover GARCH (PS-GARCH) model. Single-index and portfolio models for forecasting value-at-risk thresholds.