Essays on portfolio optimization, volatility modelling and risk measurement
This study comprises of three essays on the subject of financial risk management with applications in the fields of portfolio optimization, continuous and discrete time stochastic volatility (SV) modelling. We jointly consider two risk measures: Value-at-Risk (VaR) and conditional Value-at-Risk (CVa...
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University of York
2017
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| Online Access: | https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.733645 |