Blar i Institutt for matematiske fag på emneord "ntnudaim:5450"
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Modelling risk in multi asset-class portfolios
(Master thesis, 2010)Using a simulation based model, with the Black-Scholes framework for equity andThe LIBOR Market Model for interest rates, we study market risk in multi assetclassportfolios, with static and dynamic weighting. The risk ...