In search of robust methods for multi-currency portfolio construction by value at risk

DOI10.1007/s10690-018-9260-7zbMath1410.91432OpenAlexW2901188178MaRDI QIDQ1732977

Trung K. Do, Mei-Ling Tang

Publication date: 26 March 2019

Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10690-018-9260-7

zbMATH Keywords

value at riskMonte-Carlo simulationhistorical simulationmulti-currency portfoliovariance-covariance approach

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistical methods; risk measures (91G70) Portfolio theory (91G10)

Cites Work

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• How to estimate the value at risk under incomplete information
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• A decision rule to minimize daily capital charges in forecasting value-at-risk
• Safety First and the Holding of Assets