| dc.contributor.author | Sannes, Hilde Marianne Skjelbred | |
| dc.date.accessioned | 2016-09-05T22:28:09Z | |
| dc.date.available | 2016-09-05T22:28:09Z | |
| dc.date.issued | 2016 | |
| dc.identifier.citation | Sannes, Hilde Marianne Skjelbred. Portfolio optimization with Conditional Value-at-Risk constraints. Master thesis, University of Oslo, 2016 | |
| dc.identifier.uri | http://hdl.handle.net/10852/51958 | |
| dc.description.abstract | This thesis aims to study the risk measure Conditional Value-at-Risk and analyse an optimization problem of maximizing expected return subject to this risk measure. The analysis include performing Fourier-Motzkin eliminations on the system of linear constraints of the problem, so that the portfolio is the only remaining decision variable. | eng |
| dc.language.iso | eng | |
| dc.subject | | |
| dc.title | Portfolio optimization with Conditional Value-at-Risk constraints | eng |
| dc.type | Master thesis | |
| dc.date.updated | 2016-09-05T22:28:08Z | |
| dc.creator.author | Sannes, Hilde Marianne Skjelbred | |
| dc.identifier.urn | URN:NBN:no-55365 | |
| dc.type.document | Masteroppgave | |
| dc.identifier.fulltext | Fulltext https://www.duo.uio.no/bitstream/handle/10852/51958/1/HildeSannesThesis.pdf | |