Tid: 12 maj 2008 kl 16.15-17.00

Plats : Seminarierummet 3733, Institutionen för matematik, KTH, Lindstedts väg 25, plan 7. Karta!

Föredragshållare: Mattias Larsson

Titel: Portfolio optimization with Structured Products using Extreme Value Theory

Sammanfattning: The purpose of this thesis is to show how portfolio optimization can be performed with structured products using extreme value theory and copulas. The margins of the financial time series are modelled individually using time series analysis and extreme value theory. The dependency structure is tailored using copulas. Portfolio optimization is performed using scenario generation and CVaR minimization.

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