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Analysis of Copula Opinion Pooling with Applications to Quantitative Portfolio Management
KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics.
2015 (English)Independent thesis Advanced level (degree of Master (Two Years)), 20 credits / 30 HE creditsStudent thesis
Abstract [en]

In 2005 Attilio Meucci presented his article Beyond Black-Litterman: Views on Non-Normal Markets which introduces the copula opinion pooling approach using generic non-normal market assumptions. Copulas and opinion pooling are used to express views on the market which provides a posterior market distribution that smoothly blends an arbitrarily distributed market prior distribution with arbitrarily chosen views. This thesis explains how to use this method in practice and investigates its performance in different investment situations. The method is tested on three portfolios, each showing some different feature. The conclusions that can be drawn are e.g. that the method can be used in many different investment situations in many different ways, implementation and calculations can be made within a few seconds for a large data set and the method could be useful for portfolio managers using mathematical methods. The presented examples together with the method generate reasonable results.

Place, publisher, year, edition, pages
TRITA-MAT-E, 2015:22
Keyword [en]
Copula opinion pooling, copulas, t copula, views, tail dependence, maximum likelihood, VaR, ES, mean-ES trade-off, portfolio theory, portfolio management, allocation, kernel estimation, correlation.
National Category
Mathematical Analysis
URN: urn:nbn:se:kth:diva-168200OAI: diva2:816642
Subject / course
Mathematical Statistics
Educational program
Master of Science - Applied and Computational Mathematics
Available from: 2015-06-03 Created: 2015-05-28 Last updated: 2015-06-03Bibliographically approved

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