Portfolio Optimization : A DCC-GARCH forecast with implied volatility
This thesis performs portfolio optimization using three allocation methods, Certainty Equivalence Tangency (CET), Global Minimum Variance (GMV) and Minimum Conditional Value-at-Risk (MinCVaR). We estimate expected returns and covariance matrices based on 7 stock market indices with a DCC-GARCH model...
| Main Authors: | , |
|---|---|
| Format: | Others |
| Language: | English |
| Published: |
Linnéuniversitetet, Institutionen för ekonomistyrning och logistik (ELO)
2019
|
| Subjects: | |
| Online Access: | http://urn.kb.se/resolve?urn=urn:nbn:se:lnu:diva-85992 |