Use this url to cite publication: https://hdl.handle.net/20.500.12259/1229
Quantitative risk assessment of hypothetic investment portfolio : the case of the Baltic States
Author(s)
| Author |
|---|
Rupeika-Apoga, Ramona |
Title
Quantitative risk assessment of hypothetic investment portfolio : the case of the Baltic States
Other Title
Hipotetinio investicijų portfelio kiekybinis rizikos vertinimas : Baltijos šalių atvejis
Is part of
Taikomoji ekonomika : sisteminiai tyrimai, 2013, t. 7, nr. 2, p. 87-99
Date Issued
| Date | Issue | Start Page | End Page |
|---|---|---|---|
2013 | 7(2) | 87 | 99 |
Abstract
This study examines the performance of 5 Value-at-Risk (VaR) methods in the context of investment portfolio management. A comparative analysis reveals that testing methods give similar risk assessment values and the choice of proper time horizon and observation period plays a more important role than the choice of method.
Straipsnyje analizuojama penkių VaR metodų taikymo rezultatai investicinio portfelio valdymo kontekste. Lyginamoji analizė parodė, kad atlikti bandymai duoda panašias rizikos vertinimo vertes ir tinkamo laiko horizonto bei stebėjimo laikotarpio pasirinkimas vaidina svarbesnį vaidmenį nei taikomo metodo parinkimas.
Type of document
type::text::journal::journal article::research article
Language
Anglų / English (en)
ISSN
1822-7996
Access Rights
Atviroji prieiga / Open Access