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...
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| Опубліковано в:: | EconoQuantum |
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| Автори: | , |
| Формат: | Artigo |
| Мова: | Inglês |
| Опубліковано: |
Universidad de Guadalajara
2015
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| Предмети: | |
| Онлайн доступ: | https://www.redalyc.org/articulo.oa?id=125043458006 |
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