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statistics essay

4) Study the coherence definition for risk functions, use concrete example to illustrate why coherence and incoherence are needed in different circumstances (cf the IAM discussion paper).

5) Take a couple of risk functions to verify, using numerical examples, if they are coherent or incoherent. (cf IAM discussion papers)

6) Study the definition of the following risk functions and how they are computed using MATLAB with concrete examples:

l VaR

l Expected Tail loss

l Omega

l Drawdown

7) Use some of the Peer Group data to construct a 20 variable VaR function, minimize it using MATLAB Optimization Tool Box. Choose sub-time intervals to compare the performance of thus formed portfolio against equal-weight ETF.

Kỹ năng: Research Writing

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