Value at risk models for Dutch bond portfolios
β Scribed by Peter J.G. Vlaar
- Book ID
- 117529215
- Publisher
- Elsevier Science
- Year
- 2000
- Tongue
- English
- Weight
- 177 KB
- Volume
- 24
- Category
- Article
- ISSN
- 0378-4266
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π SIMILAR VOLUMES
## 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 valueβatβrisk (
This paper looks at the optimal portfolio problem when a value-at-risk constraint is imposed. This provides a way to control risks in the optimal portfolio and to fulΓΏl the requirement of regulators on market risks. The value-at-risk constraint is derived for n risky assets plus a risk-free asset an