20.500.12556/RUL-135883 Uporaba kopul pri modeliranju donosov tveganih naložb delo diplomskega seminarja Application of Copulas at Modeling Returns of Risky Investments Investitorji se pogosto odločajo za investiranje v sklade tveganega kapitala zaradi nekoreliranosti njihovih donosov z donosi trga. Investitorji na takšen način dosežejo diverzifikacijo svojega portfelja. Ker pa so donosi skladov tveganega kapitala še posebej po vseh stroških manjši kot so bili konec prejšnjega stoletja, se pojavi potreba po drugačni obliki investiranja. Z obravnavano strategijo replikacije lahko dosežemo enake donose, kot jih dosežejo skladi tveganega kapitala, ter odpravimo nekatere težave, s katerimi se investitorji soočajo ob investiranju vanje. Ključno vlogo v strategiji imajo kopule, saj z njihovo pomočjo izvedemo drugi in tretji korak strategije. Kopule so večrazsežne kumulativne porazdelitvene funkcije, z robnimi porazdelitvenimi funkcijami enakomernimi na intervalu [0,1]. Uporabljajo se za opis odvisnosti med slučajnimi spremenljivkami. Investors often choose to invest in hedge funds because their returns do not correlate with market returns. In this way, investors achieve diversification of their portfolio. However, since returns of hedge funds, especially after deducting all the costs, are not as high as they were at the end of the previous century, a different form of investing is needed. With the discussed replication strategy, we can achieve the same returns as with hedge funds, and eliminate some of the problems common to investing in hedge funds. Copulas play a crucial role in discussed strategy, we use them in the second and the third step of the strategy. Copulas are multivariate cumulative distribution functions with margins that are uniform on the interval [0,1]. We use them to describe dependence between random variables. kopula strategija replikacije skladi tveganega kapitala copula replication strategy hedge funds true false false Slovenski jezik Angleški jezik Delo diplomskega seminarja/zaključno seminarsko delo/naloga 2022-03-31 08:15:03 2022-03-31 08:15:08 2024-05-29 12:26:32 0000-00-00 00:00:00 2022 0 0 0000-00-00 NiDoloceno NiDoloceno NiDoloceno 0000-00-00 0000-00-00 0000-00-00 519.8 123082 104275459 4367.pdf 4367.pdf 1 2FC4B8F77C28AC89CC25031D098A4962 7495d69e9384019b863d35e84e487bd3a1b98107c71774935d60932cd4bec8d8 e436c4c4-b0b9-11ec-8aca-00155dcfd717 https://repozitorij.uni-lj.si/Dokument.php?lang=slv&id=155115 4368.R 4368.R 1 1A034453014DA0487744491B2E9C1042 0689e61728c4ce2e2cf011efc739ba1f67e9c26fd2d127df6f74acb0175cc0c3 e4371628-b0b9-11ec-8aca-00155dcfd717 https://repozitorij.uni-lj.si/Dokument.php?lang=slv&id=155116 4369.xlsx 4369.xlsx 1 ABA7F8B133325EC951DD0A0A94D789E8 d9e9e158be0a6690089598ba16532f368af5044d1b62858cebaf29095ec13f53 e4373827-b0b9-11ec-8aca-00155dcfd717 https://repozitorij.uni-lj.si/Dokument.php?lang=slv&id=155117 Fakulteta za matematiko in fiziko 0 0 0