This thesis is composed of three chapters. The first two chapters provides novel approaches for<p>modeling and estimating the dependence structure for a large portfolio of assets using rating data.<p>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.<p>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. / Doctorat en Sciences économiques et de gestion / info:eu-repo/semantics/nonPublished
| Identifer | oai:union.ndltd.org:ulb.ac.be/oai:dipot.ulb.ac.be:2013/210186 |
| Date | 11 January 2010 |
| Creators | Castro, Carlos |
| Contributors | Veredas, David, Cantillon, Estelle, Pirotte, Hugues, Lucas, Andre, De Mol, Christine, Alderweireld, Thomas |
| Publisher | Universite Libre de Bruxelles, Université libre de Bruxelles, Faculté des sciences sociales, politiques et économiques – Sciences économiques, Bruxelles |
| Source Sets | Université libre de Bruxelles |
| Language | English |
| Detected Language | English |
| Type | info:eu-repo/semantics/doctoralThesis, info:ulb-repo/semantics/doctoralThesis, info:ulb-repo/semantics/openurl/vlink-dissertation |
| Format | 1 v. (vi, 115 p.), No full-text files |
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