Investigation on the efficient frontier based on CVaR under copula dependence structure with applications to South African JSE stocks
Includes bibliographical references. === We study the feasihility of using a coherent monetary risk measure, Conditional Value at Risk (CVaR) also known as Expected Shortfall (ES), to optimise a portfolio of South African stocks. Value at Risk (VaR) is not a sub-additive risk measure and therefore d...
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| Format: | Dissertation |
| Language: | English |
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University of Cape Town
2014
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| Online Access: | http://hdl.handle.net/11427/4877 |