In search of robust methods for multi-currency portfolio construction by value at risk (Q1732977)
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scientific article; zbMATH DE number 7041703
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | In search of robust methods for multi-currency portfolio construction by value at risk |
scientific article; zbMATH DE number 7041703 |
Statements
In search of robust methods for multi-currency portfolio construction by value at risk (English)
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26 March 2019
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value at risk
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historical simulation
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variance-covariance approach
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Monte-Carlo simulation
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multi-currency portfolio
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0.8692352
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0.84375334
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0.8420949
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0.84195185
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0.8383159
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