𝔖 Bobbio Scriptorium
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CONDITIONAL RISK ANALYSIS

✍ Scribed by Alan L. Saipe

Book ID
109166682
Publisher
Decision Sciences Institute, Georgia State University
Year
1978
Tongue
English
Weight
703 KB
Volume
9
Category
Article
ISSN
0011-7315

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## Abstract We propose a new approach to the estimation of the portfolio Value‐at‐Risk. Based on the assumption that the same macroeconomic factors affect returns of all assets in a portfolio, this methodology allows the generation of the sequence of hypothetical future equilibrium portfolio return