| Fichiers |
EssaysInDependenceAndOptimalityInLargePortfoliosCarlosCastro2010.pdf |
| Auteur | Castro Iragorri, Carlos (ccastroiragorri@gmail.com) |
| Titre | Essays in dependence and optimality in large portfolios. |
| Département | F702 - (archive)Faculté des sciences sociales, politiques et économiques - Sciences économiques (Patricia.Moreau@ulb.ac.be) |
| Intitulé du diplôme | Doctorat en Sciences économiques et de gestion |
| Date de défense | 2010-01-11 |
| Jury |
Alderweireld, Thomas (Membre du jury/Committee Member) De Mol, Christine (Membre du jury/Committee Member) Lucas, Andre (Membre du jury/Committee Member) Pirotte, Hugues (Membre du jury/Committee Member) Cantillon, Estelle (Président du jury/Committee Chair) Veredas, David (Promoteur/Director) |
| Mots-clés | asset correlation, multifactor models, international diversification., portfolio choice, credit risk |
| Résumé | 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. |