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Filtering by: Keyword Portfolio Optimization

1. Market and Credit Risk Models and Management Report

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

2. Risk Management Project

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

3. Risk Management Project

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

4. Portfolio Optimization, CAPM & Factor Modeling Project

Keyword:: Portfolio Optimization and Factor Model
Creator:: Zhao, Zhen
Advisor:: Blais, Marcel Y.
Publisher:: Worcester Polytechnic Institute
Date Created:: 2012-04-25
Resource Type:: Report
Degree:: MS
Unit (Department):: Mathematical Sciences

5. Portfolio Optimization, CAPM & Factor Modeling Project

Keyword:: Portfolio Optimization and CAPM & Factor Modeling
Creator:: Zhou, Jie
Advisor:: Blais, Marcel Y.
Publisher:: Worcester Polytechnic Institute
Date Created:: 2012-04-25
Resource Type:: Report
Degree:: MS
Unit (Department):: Mathematical Sciences

6. Portfolio Optimization Based on Robust Estimation Procedures

Keyword:: Portfolio Optimization and robust estimation
Creator:: Gao, Weiguo
Advisor:: Vermes, Domokos
Publisher:: Worcester Polytechnic Institute
Date Created:: 2004-04-30
Resource Type:: Thesis
Degree:: MS
Unit (Department):: Mathematical Sciences

7. Transaction costs and resampling in mean-variance portfolio optimization

Keyword:: Portfolio Optimization, Transaction Costs, Resampling, and Mean-Variance Optimization
Creator:: Asumeng-Denteh, Emmanuel
Advisor:: Vermes, Domokos
Publisher:: Worcester Polytechnic Institute
Date Created:: 2004-04-30
Resource Type:: Thesis
Degree:: MS
Unit (Department):: Mathematical Sciences