Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
Results
Showing 1 to 3 of 3 for “"desirable risk"”.
-
Factor-based replication of hedge funds using a state space model
… While some of the hedge fund clones offer desirable risk characteristics, they offer lower mean returns and underperform their indices in most periods. As such, the hedge fund clones constructed in this study require further refinement and are not yet equipped for use in practice.
-
Essays on Quantitative Risk Management
… the importance as well as challenges of risk management. This thesis explores several core concepts of quantitative risk management and provides further insight. We start with rating migration risk and propose a Mixture of Markov Chains (MMC) model to account for stochastic business cycle …