Browsing Fakultet for økonomi (ØK) by Author "Fagerholt, Anders Loe"
Now showing items 1-1 of 1
-
Risk Parity Stock Optimization Using Principal Component Quantile Simulation
Fagerholt, Anders Loe; Aanonsen, Bård Ø. (Master thesis, 2016)Today's portfolio optimization models are often too sensitive to stochastic input parameters and the use of outdated risk measures, resulting in poor risk adjusted return. This thesis presents a solution to avoid these ...