Show simple item record

dc.contributor.authorRinge, Eduard 19:50:24 (GMT) 19:50:24 (GMT)
dc.description.abstractOptimal strategies under worst-case scenarios have been studied in Bernard et al. [2013a]. Bernard et al. utilize copulas to construct cost-efficient strategies with a predefined dependence structure in the tail between the payoff and the market. In their study they show that such strategies with state-dependent copula constraints dominate traditional diversification strategies in terms of the provided protection in the states of market downturns. We derive similar strategies, however using correlation constraints instead of copula constraints in the tail. We found that for an investor seeking negative dependence with the market, it is cheaper to construct a strategy with conditional correlation constraint in the tail. However, the constructed strategies with conditional correlation constraints do not provide sufficient protection in bad states of the economy. Therefore, when analyzing a strategy, negative correlation with the market in the tail is not a sufficient indicator for the protection level in the event of a market crisis.en
dc.publisherUniversity of Waterlooen
dc.subjectconditional correlationen
dc.titleOptimal Strategies with Tail Correlation Constraintsen
dc.typeMaster Thesisen
dc.subject.programQuantitative Financeen Financeen
uws-etd.degreeMaster of Quantitative Financeen

Files in this item


This item appears in the following Collection(s)

Show simple item record


University of Waterloo Library
200 University Avenue West
Waterloo, Ontario, Canada N2L 3G1
519 888 4883

All items in UWSpace are protected by copyright, with all rights reserved.

DSpace software

Service outages