GitHub - perame787/Master-Thesis: Scripts and data used for the master's thesis "Portfolio selection with ES and regular vine copulae with EVT marginals" presented at the Wirtschaftsuniversität Wien in summer 2023. Code is structured for the purposes of the thesis and may not comply with best coding standards.

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Name		Name	Last commit message	Last commit date
Latest commit History 5 Commits
Data		Data
Master-Thesis.Rproj		Master-Thesis.Rproj
Pedro_Rangel_Master_Thesis.pdf		Pedro_Rangel_Master_Thesis.pdf
R_script.R		R_script.R
data_cleaning.R		data_cleaning.R
package.R		package.R

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Scripts and data used for the master's thesis "Portfolio selection with ES and regular vine copulae with EVT marginals" presented at the Wirtschaftsuniversität Wien in summer 2023. Code is structured for the purposes of the thesis and may not comply with best coding standards.

quantitative-finance stochastic-optimization copulas scenario-generation extreme-value-theory