Please use this identifier to cite or link to this item:https://hdl.handle.net/20.500.12259/1229
Type of publication: Straipsnis / Article
Author(s): Rupeika-Apoga, Ramona;Nedoviss, Roberts
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: 2013
Keywords: Risk assessment;Rizikos vertinimas;VaR methods;Investment portfolio;Baltic stock market;VaR metodai;Investicijų portfelis;Baltijos šalių akcijų rinka
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.
Internet: https://eltalpykla.vdu.lt/1/1229
http://dx.doi.org/10.7220/AESR.1822.7996.2013.7.2.6
https://hdl.handle.net/20.500.12259/1229
Appears in Collections:Taikomoji ekonomika: sisteminiai tyrimai / Applied Economics: Systematic Research 2013, nr. 7(2)

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