Conditional value at risk and related linear programming models for portfolio optimization

Single-index and portfolio models for fo

Single-index and portfolio models for forecasting value-at-risk thresholds

✍ Michael McAleer; Bernardo da Veiga 📂 Article 📅 2008 🏛 John Wiley and Sons 🌐 English ⚖ 374 KB 👁 1 views

## Abstract The variance of a portfolio can be forecast using a single index model or the covariance matrix of the portfolio. Using univariate and multivariate conditional volatility models, this paper evaluates the performance of the single index and portfolio models in forecasting value‐at‐risk (