Sökning: "conditional Value-at-Risk"

Visar resultat 1 - 5 av 14 avhandlingar innehållade orden conditional Value-at-Risk.

1. 1. Copula-based Portfolio Optimization

   Författare :Maziar Sahamkhadam; Andreas Stephan; Håkan Locking; Ranadeva Jayasekera; Linnéuniversitetet; []
   Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Copula; portfolio optimization; conditional Value-at-Risk; vine copulas; asymmetric tail dependence; Black-Litterman approach; expectile Value-at-Risk; multiobjective portfolios; Business administration; Företagsekonomi;

   Sammanfattning : 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. LÄS MER

3. 2. Essays on Risk in International Financial Markets

   Författare :Ola Larsson; Nationalekonomiska institutionen; []
   Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; volatility; Value at Risk; copulas; Economics; econometrics; economic theory; economic systems; economic policy; Nationalekonomi; ekonometri; ekonomisk teori; ekonomiska system; ekonomisk politik; Financial science; Finansiering;

   Sammanfattning : This thesis deals with techniques to model risk in financial markets and consists of four separate essays. The thesis begins with an introduction in chapter one, while chapter two to chapter five contains the four essays. The first essay examines the implication of using various risk measures for portfolio selection. LÄS MER

4. 3. Topics in Workforce Management in a Contact Center Context

   Författare :Göran Svensson; Per Enqvist; Tolga Tezcan; KTH; []
   Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; queues; queuing networks; workforce management; optimization; conditional value-at-risk; Tillämpad matematik och beräkningsmatematik; Applied and Computational Mathematics;

   Sammanfattning : This thesis is written as a monograph covering topics in operations research and focusing on workforcemanagement in a contact center environment.This text is the result of a cooperative project between the Royal Institute of Technology (KTH) andTeleopti WFM. LÄS MER

5. 4. Nonlinear Programming - Robust Models and Applications

   Författare :Christoffer Cromvik; Göteborgs universitet; []
   Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; optimization; robustness; multi-objective optimization; stochastic mathematical programs with equilibrium constraints; conditional value-at-risk; IMRT; traffic network design; airbag folding; Origami; airbag folding;

   Sammanfattning : The major theme of this thesis is nonlinear programming with an emphasis on applications and robust models. The thesis has two parts. The first three papers comprise the first part. Here, we discuss robustness properties of optimal solutions to a variety of models. LÄS MER

7. 5. Aspects of Modeling Fraud Prevention of Online Financial Services

   Författare :Gorton Dan; Lars-Göran Mattsson; Simin Nadjm-Tehrani; KTH; []
   Nyckelord :TEKNIK OCH TEKNOLOGIER; ENGINEERING AND TECHNOLOGY; Online banking; fraud; incident response; metrics; incident response tree IRT ; value at risk VaR ; simulation; Transportvetenskap; Transport Science;

   Sammanfattning : Banking and online financial services are part of our critical infrastructure. As such, they comprise an Achilles heel in society and need to be protected accordingly. The last ten years have seen a steady shift from traditional show-off hacking towards cybercrime with great economic consequences for society. LÄS MER