Enhancing portfolio risk management : a comparative study of parametric, non-parametric, and Monte Carlo methods, with VaR and percentile ranking
Aris Shokri and Alexios Kythreotis
| Year of publication: |
2024
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|---|---|
| Authors: | Shokri, Aris ; Kythreotis, Alexios |
| Published in: |
International journal of business and emerging markets : IJBEM. - Olney, Bucks : Inderscience Enterprises, ISSN 1753-6227, ZDB-ID 2453814-0. - Vol. 16.2024, 3, p. 411-428
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| Subject: | capital allocation | Monte Carlo | portfolio management | risk management | value-at-risk | VaR | Risikomanagement | Risk management | Portfolio-Management | Portfolio selection | Monte-Carlo-Simulation | Monte Carlo simulation | Risikomaß | Risk measure | Theorie | Theory | VAR-Modell | VAR model |
freely available
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1504/IJBEM.2024.139472 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015057498