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This thesis starts with a review of the traditional portfolio theory and a discussion of its limitations. The new technique portfolio resampling is introduced, followed by two different portfolio efficiency testing methods. The final part is an empirical study of portfolio revision. A short...
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This master thesis aims at estimating state price densities (SPD) via a nonparametric fit of the implied volatility smile and of its derivatives. To achieve this task, we use the local polynomial estimators and apply the empirical bias-bandwidth selector (EBBS) algorithm to determine both global...
Persistent link: https://www.econbiz.de/10009467221
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Credit scoring methods became standard tool of banks and other financial institutions, direct marketing retailers and advertising companies to estimate whether an applicant for credit/goods will pay back his liabilities. In this thesis we give a short overview of credit scoring and its methods....
Persistent link: https://www.econbiz.de/10009467225
Persistent link: https://www.econbiz.de/10009467226
Persistent link: https://www.econbiz.de/10009467227