Многомерный риск портфеля ценных бумаг. Value-at-Risk. Метод Монте-Карло

Bibliographic Details
Parent link:	Перспективы развития фундаментальных наук.— 2012.— [С. 542-544]
Main Author:	Жиров И. В.
Other Authors:	Крицкий О. Л. Олег Леонидович (727)
Summary:	Заглавие с экрана In this paper some methods for estimating multivariate risk portfolio of securities model with Value-at-Risk. With this method, it is possible make a conclusion about cumulative risk of the portfolio. At the same time using this model, an investor can make his strategy so that the maximally preserve their assets. The author makes some conclusions about the adequacy of the model in the stock market, and recommends this model for creating hedging.
Language:	Russian
Published:	2012
Series:	Математика
Subjects:	электронный ресурс труды учёных ТПУ многомерный статистический анализ риск ценные бумаги values метод Монте-Карло
Online Access:	http://www.lib.tpu.ru/fulltext/c/2012/C21/182.pdf
Format:	Electronic Book Chapter
KOHA link:	https://koha.lib.tpu.ru/cgi-bin/koha/opac-detail.pl?biblionumber=238528

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