Blar i Master's theses in Business Administration (-2013) på emneord "VDP::Mathematics and natural science: 400::Mathematics: 410::Insurance mathematics and risk analysis: 417"
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The Black-Litterman model
(Master thesis, 2013)The Markowitz model has two problematic tendencies; unintuitive portfolios and portfolios with high transaction costs. The Black-Litterman model was made as an improvement of the Markowitz model. It uses a Bayesian approach ... -
The performance of Value-at-Risk models on the OBX index
(Master thesis, 2013)The measuring of risk has become one of the main fields in finance during the last two decades. Value-at-Risk (VaR) has become one of the most important risk measures and is widely used for numerous applications. This ...