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title
Dünaamiline varade jaotus prognoositud volatiilsuse alusel
Dynamic Asset Allocation by Volatility Forecasting
author
Niinemäe, Veiko
keywords
dünaamiline varade jaotus
varahaldus
volatiilsuse modelleerimine
volatiivsuse prognoosimine
magistritööd
dynamic asset allocation
asset management
expected shortfall
CVaR
minimum variance
volatility modeling
volatility forecasting
GARCH
EGARCH
GJR-GARCH
master's theses
supervisor
Staehr, Karsten
defence date
08.06.2015
language
eng
institution
Tallinna Tehnikaülikool
Tallinn University of Technology
faculty
Majandusteaduskond
Tallinn School of Economics and Business Administration
department / college
Rahanduse ja majandusteooria instituut
Department of Finance and Economics
subunit
Rahanduse ja panganduse õppetool
Chair of Finance and Banking
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