Portfolio optimization with VaR approach : a comparative analysis for Japan, London, New York and India
Year of publication: |
2020
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Authors: | Bhatia, Parul ; Gupta, Priya |
Published in: |
Theoretical and applied economics : GAER review. - Bucureşti : AGER, ISSN 1841-8678, ZDB-ID 2640970-7. - Vol. 27.2020, 4/625, p. 245-262
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Subject: | Value-at-Risk (VaR) | simulation model | variance-covariance matrix | Monte Carlo simulation | GARCH approach | Portfolio-Management | Portfolio selection | Simulation | Japan | Risikomaß | Risk measure | Monte-Carlo-Simulation | ARCH-Modell | ARCH model | New York | Indien | India | London | Schätztheorie | Estimation theory | VAR-Modell | VAR model |
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