Change search
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf
Analysis of Copula Opinion Pooling with Applications to Quantitative Portfolio Management
KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics.
2015 (English)Independent thesis Advanced level (degree of Master (Two Years)), 20 credits / 30 HE creditsStudent thesis
Abstract [en]

In 2005 Attilio Meucci presented his article Beyond Black-Litterman: Views on Non-Normal Markets which introduces the copula opinion pooling approach using generic non-normal market assumptions. Copulas and opinion pooling are used to express views on the market which provides a posterior market distribution that smoothly blends an arbitrarily distributed market prior distribution with arbitrarily chosen views. This thesis explains how to use this method in practice and investigates its performance in different investment situations. The method is tested on three portfolios, each showing some different feature. The conclusions that can be drawn are e.g. that the method can be used in many different investment situations in many different ways, implementation and calculations can be made within a few seconds for a large data set and the method could be useful for portfolio managers using mathematical methods. The presented examples together with the method generate reasonable results.

Place, publisher, year, edition, pages
2015.
Series
TRITA-MAT-E, 2015:22
Keyword [en]
Copula opinion pooling, copulas, t copula, views, tail dependence, maximum likelihood, VaR, ES, mean-ES trade-off, portfolio theory, portfolio management, allocation, kernel estimation, correlation.
National Category
Mathematical Analysis
Identifiers
URN: urn:nbn:se:kth:diva-168200OAI: oai:DiVA.org:kth-168200DiVA: diva2:816642
External cooperation
Nordea Markets
Subject / course
Mathematical Statistics
Educational program
Master of Science - Applied and Computational Mathematics
Supervisors
Examiners
Available from: 2015-06-03 Created: 2015-05-28 Last updated: 2015-06-03Bibliographically approved

Open Access in DiVA

fulltext(14025 kB)255 downloads
File information
File name FULLTEXT01.pdfFile size 14025 kBChecksum SHA-512
4c85a9005f1eee33284363f4538231223d372dd5c1783e39f69685f40d3e5effa7628e9399c97b8229b3f6b11db4ccb069969df725a7424d0cc5d80b011b55ff
Type fulltextMimetype application/pdf

By organisation
Mathematical Statistics
Mathematical Analysis

Search outside of DiVA

GoogleGoogle Scholar
Total: 255 downloads
The number of downloads is the sum of all downloads of full texts. It may include eg previous versions that are now no longer available

urn-nbn

Altmetric score

urn-nbn
Total: 574 hits
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf