ListarGrau en Finances i Comptabilitat por tema "Value at Risk"
Mostrando ítems 1-2 de 2
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Analysis of investment in financial markets: Markowitz against Value at Risk historical approach
Universitat Jaume I (2019-06-13)This study compares three approaches to portfolio optimization, the approach suggested by Markowitz (1952), and the approach based on employing the historical approach to Value at Risk (VaR), at both the 90% and 95% ... -
Comparison of portfolio optimization tarough the Markowitz's approach and value atrisk as the risk measure
Universitat Jaume I (2019-07-11)This study compares several approaches to portfolio optimization, the Markowitz’s (1952) approach and the approach based on the normal distribution of Value at Risk, with the different levels of confidence as a measure of ...