Index Catalog // Digital WPI

Keyword:: Value at Risk, Portfolio Optimization, ARMA-GARCH Model, Expected Shortfall, and Risk Reduction
Creator:: Qu, Jing
Advisor:: Blais, Marcel Y.
Publisher:: Worcester Polytechnic Institute
Date Created:: 2012-05-02
Resource Type:: Report
Degree:: MS
Unit (Department):: Mathematical Sciences

Keyword:: BIC, Expected Shortfall, AIC, Portfolio Optimization, Chi-square test, ARMA-GARCH, Value-at-risk, and Risk Management
Creator:: Yan, Lu
Advisor:: Blais, Marcel Y.
Publisher:: Worcester Polytechnic Institute
Date Created:: 2012-05-02
Resource Type:: Report
Degree:: MS
Unit (Department):: Mathematical Sciences

Keyword:: Value-at-risk, BIC, ARMA-GARCH, Portfolio Optimization, Chi-square test, AIC, Risk Management, and Expected Shortfall
Creator:: Shen, Chen
Advisor:: Blais, Marcel Y.
Publisher:: Worcester Polytechnic Institute
Date Created:: 2012-05-02
Resource Type:: Report
Degree:: MS
Unit (Department):: Mathematical Sciences

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