Essays in dependence and optimality in large portfolios

Carlos Castro Iragorri ()

ULB Institutional Repository from ULB -- Universite Libre de Bruxelles

Abstract: This thesis is composed of three chapters. The first two chapters provides novel approaches for

modeling and estimating the dependence structure for a large portfolio of assets using rating data.

In both chapters a natural form of organizing a portfolio in terms of the levels of exposure to economic sectors and geographical regions, plays a key role in setting up the dependence structure.

The last chapter investigates weather financial strategies that exploit sector or geographical heterogeneity in the asset space are relevant in terms of portfolio optimization. This is also done in a context of a large portfolio but with data on stock returns.

Keywords: Financial risk management; Investments -- Mathematical models; Portfolio management -- Mathematical models; Finances -- Gestion du risque; Investissements -- Modèles mathématiques; Gestion de portefeuille -- Modèles mathématiques; asset correlation; multifactor models; international diversification.; portfolio choice; credit risk (search for similar items in EconPapers)
Pages: 1 v. (vi, 115 p.)
Date: 2010-01-11
Note: Degree: Doctorat en Sciences économiques et de gestion
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