Portfolio optimization with VaR approach : a comparative analysis for Japan, London, New York and India
Parul Bhatia, Priya Gupta
| Year of publication: |
2020
|
|---|---|
| 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
|
| Subject: | Value-at-Risk (VaR) | simulation model | variance-covariance matrix | Monte Carlo simulation | GARCH approach | Simulation | Japan | Portfolio-Management | Portfolio selection | Risikomaß | Risk measure | ARCH-Modell | ARCH model | Monte-Carlo-Simulation | Indien | India | New York | London | VAR-Modell | VAR model | Schätztheorie | Estimation theory |