Uporaba kopul pri modeliranju donosov tveganih naložb

delo diplomskega seminarja

Maks Perbil (Author), Blaž Mojškerc (Mentor)

Abstract

Investitorji se pogosto odločajo za investiranje v sklade tveganega kapitala zaradi nekoreliranosti njihovih donosov z donosi trga. Investitorji na takšen način dosežejo diverzifikacijo svojega portfelja. Ker pa so donosi skladov tveganega kapitala še posebej po vseh stroških manjši kot so bili konec prejšnjega stoletja, se pojavi potreba po drugačni obliki investiranja. Z obravnavano strategijo replikacije lahko dosežemo enake donose, kot jih dosežejo skladi tveganega kapitala, ter odpravimo nekatere težave, s katerimi se investitorji soočajo ob investiranju vanje. Ključno vlogo v strategiji imajo kopule, saj z njihovo pomočjo izvedemo drugi in tretji korak strategije. Kopule so večrazsežne kumulativne porazdelitvene funkcije, z robnimi porazdelitvenimi funkcijami enakomernimi na intervalu [0,1]. Uporabljajo se za opis odvisnosti med slučajnimi spremenljivkami.

Keywords

finančna matematika;kopule;strategija replikacije;skladi tveganega kapitala;

Data

Language:	Slovenian
Year of publishing:	2022
Typology:	2.11 - Undergraduate Thesis
Organization:	UL EF - Faculty of Economics
Publisher:	[M. Perbil]
UDC:	519.8
COBISS:	104275459
Views:	656
Downloads:	86
Average score:	0 (0 votes)
Metadata:

Other data

Secondary language:	English
Secondary title:	Application of Copulas at Modeling Returns of Risky Investments
Secondary abstract:	Investors often choose to invest in hedge funds because their returns do not correlate with market returns. In this way, investors achieve diversification of their portfolio. However, since returns of hedge funds, especially after deducting all the costs, are not as high as they were at the end of the previous century, a different form of investing is needed. With the discussed replication strategy, we can achieve the same returns as with hedge funds, and eliminate some of the problems common to investing in hedge funds. Copulas play a crucial role in discussed strategy, we use them in the second and the third step of the strategy. Copulas are multivariate cumulative distribution functions with margins that are uniform on the interval [0,1]. We use them to describe dependence between random variables.
Secondary keywords:	mathematics;copulas;replication strategy;hedge funds;
Type (COBISS):	Final seminar paper
Study programme:	0
Embargo end date (OpenAIRE):	1970-01-01
Thesis comment:	Univ. v Ljubljani, Fak. za matematiko in fiziko, Oddelek za matematiko, Finančna matematika - 1. stopnja
Pages:	34 str.
ID:	14900690