IDEAS home Printed from https://ideas.repec.org/p/ulb/ulbeco/2013-210186.html
   My bibliography  Save this paper

Essays in dependence and optimality in large portfolios

Author

Listed:
  • Carlos Castro

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.

Suggested Citation

  • Carlos Castro, 2010. "Essays in dependence and optimality in large portfolios," ULB Institutional Repository 2013/210186, ULB -- Universite Libre de Bruxelles.
    • Handle: RePEc:ulb:ulbeco:2013/210186
    Note: Degree: Doctorat en Sciences économiques et de gestion
    as

    Download full text from publisher

    File URL: https://dipot.ulb.ac.be/dspace/bitstream/2013/210186/4/3036c51a-752c-4dc4-8b40-abd12290ef59.txt
    File Function: Œuvre complète ou partie de l'œuvre
    Download Restriction: no
    File URL: https://dipot.ulb.ac.be/dspace/bitstream/2013/210186/1/2da04286-a797-4829-bb92-26c5a438ff23.txt
    File Function: EssaysInDependenceAndOptimalityInLargePortfoliosCarlosCastro2010
    Download Restriction: no
    ---><---

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ulb:ulbeco:2013/210186. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Benoit Pauwels (email available below). General contact details of provider: https://edirc.repec.org/data/ecsulbe.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.