Portfolio Construction Based on Implied Correlation Information and Value at Risk
Value at Risk (VaR) is a commonly used downside-risk measure giving the worst-case asset loss over a target horizon for a given confidence level. Implied correlation from VaR is an alternative form of the correlation coefficient calculated not only based on historic performance, but taking into acco...
שמור ב:
| הוצא לאור ב: | EconoQuantum |
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| Principais autores: | , |
| פורמט: | Artigo |
| שפה: | Inglês |
| יצא לאור: |
Universidad de Guadalajara
2015
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| נושאים: | |
| גישה מקוונת: | https://www.redalyc.org/articulo.oa?id=125043458006 |
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