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DOI: 10.5445/IR/1000025469

Asset Clusters and Asset Networks in Financial Risk Management and Portfolio Optimization

Papenbrock, Jochen

Abstract:
In this work we use explorative statistical and data mining methods for financial applications like risk management, portfolio optimization and market analysis. The outcomes are visualized and the relations are quantified by mathematical measures. Researchers, analysts and decision makers can visually explore the structures and can carry out management initiatives based on automatic measures provided by the system. There are example applications to equity and loan portfolios.


Zugehörige Institution(en) am KIT Institut für Wirtschaftstheorie und Statistik (ETS)
Publikationstyp Hochschulschrift
Jahr 2011
Sprache Englisch
Identifikator URN: urn:nbn:de:swb:90-254691
KITopen ID: 1000025469
Verlag Karlsruhe
Abschlussart Dissertation
Fakultät Fakultät für Wirtschaftswissenschaften (WIWI)
Institut Institut für Wirtschaftstheorie und Statistik (ETS)
Prüfungsdaten 05.12.2011
Referent/Betreuer Prof. S. T. Rachev
Schlagworte cluster analysis, complex networks, portfolio optimization, risk management, stress testing, early warning, risk concentrations, dynamic analysis
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