DC FieldValueLanguage
dc.contributor.advisorGerhold, Stefan-
dc.contributor.authorWeiler, Lorenz Anton-
dc.date.accessioned2020-06-30T04:46:48Z-
dc.date.issued2019-
dc.date.submitted2019-03-
dc.identifier.urihttps://resolver.obvsg.at/urn:nbn:at:at-ubtuw:1-122246-
dc.identifier.urihttp://hdl.handle.net/20.500.12708/10509-
dc.descriptionAbweichender Titel nach Übersetzung der Verfasserin/des Verfassers-
dc.description.abstractThis thesis outlines the application of saddlepoint approximations to portfolio theory. Knowledge about the distribution of a profit and loss random variable is of practical importance. Unfortunately, its density and distribution function are often unknown. In principle, knowledge about the moment-generating or cumulant-generating function permits to obtain both functions using certain integral inversion formulas. In practice, though, the complexity of the integration involved may be unduly costly. Fortunately, the inversion integrals can be approximated, which is where saddlepoint approximations come into play. Among various approximations, they stand out by being accurate in the tail distribution and with small sample sizes or merely a single observation.en
dc.formatvi, 53 Blätter-
dc.languageEnglish-
dc.language.isoen-
dc.subjectasymptotic expansionen
dc.subjectLaplace transformen
dc.subjectsaddlepoint approximationen
dc.subjectrisk measureen
dc.titleSaddlepoint approximation of risk measuresen
dc.title.alternativeSattelpunkt-Approximation von Risikomaßende
dc.typeThesisen
dc.typeHochschulschriftde
dc.publisher.placeWien-
tuw.thesisinformationTechnische Universität Wien-
tuw.publication.orgunitE105 - Institut für Stochastik und Wirtschaftsmathematik-
dc.type.qualificationlevelDiploma-
dc.identifier.libraryidAC15325465-
dc.description.numberOfPages53-
dc.identifier.urnurn:nbn:at:at-ubtuw:1-122246-
dc.thesistypeDiplomarbeitde
dc.thesistypeDiploma Thesisen
item.languageiso639-1en-
item.openairetypeThesis-
item.openairetypeHochschulschrift-
item.fulltextwith Fulltext-
item.cerifentitytypePublications-
item.cerifentitytypePublications-
item.openairecristypehttp://purl.org/coar/resource_type/c_18cf-
item.openairecristypehttp://purl.org/coar/resource_type/c_18cf-
item.grantfulltextopen-
Appears in Collections:Thesis

Files in this item:

Show simple item record

Page view(s)

12
checked on Feb 18, 2021

Download(s)

12
checked on Feb 18, 2021

Google ScholarTM

Check


Items in reposiTUm are protected by copyright, with all rights reserved, unless otherwise indicated.