In search of robust methods for multi-currency portfolio construction by value at risk
Mei-Ling Tang, Trung K. Do
| Year of publication: |
2019
|
|---|---|
| Authors: | Tang, Mei-Ling ; Do, Trung K. |
| Published in: |
Asia-Pacific financial markets. - Dordrecht [u.a.] : Springer, ISSN 1387-2834, ZDB-ID 1431844-1. - Vol. 26.2019, 1, p. 107-126
|
| Subject: | Value at risk | Historical simulation | Variance-Covariance approach | Monte-Carlo simulation | Multi-currency portfolio | Theorie | Theory | Risikomaß | Risk measure | Portfolio-Management | Portfolio selection | Simulation | Risiko | Risk | Monte-Carlo-Simulation | Monte Carlo simulation | Robustes Verfahren | Robust statistics |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s10690-018-9260-7 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012308050