Blar i Fakultet for økonomi (ØK) på forfatter "Jarneid, Karoline Fladby"
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Conditional value at risk optimization using vines - The effect of complex modelling on input error in portfolio optimization
Jarneid, Karoline Fladby (Master thesis, 2016)In this paper, a complex modelling technique, vine modelling, is compared with the Monte Carlo method to test whether it reduces the sensitivity to errors in inputs for CVaR portfolio optimization. The sensitivity to errors ...