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Dokumenttyp:
Diplomarbeit 
Autor(en):
Kallert, Lisa 
Titel:
Tail Risk Hedging Strategies 
Abstract:
In this thesis, a concept for investigating portfolio risks is introduced that can be applied to hedging of extreme losses. The proposed approach emerges mainly from two novel, successive ideas which are both engendered by the application of Markov switching modelling. The first concept is based on the estimation of a Markov switching model for individually composed portfolios. Thus, instead of focusing on economic states of financial markets which are inferred by representative indices, portfol...    »
 
Betreuer:
Dr. Brunner (risklab) 
Gutachter:
Prof. Dr. Rudi Zagst 
Jahr:
2012 
Quartal:
2. Quartal 
Sprache:
en 
Hochschule / Universität:
Technische Universität München 
Fakultät:
Fakultät für Mathematik 
Format:
Text 
Annahmedatum:
29.06.0012