Многомерный риск портфеля ценных бумаг. Value-at-Risk. Метод Монте-Карло
| Parent link: | Перспективы развития фундаментальных наук=Prospects of fundamental sciences development: сборник научных трудов IX Международной конференция студентов и молодых ученых, г. Томск, 24-27 апреля 2012 г./ Национальный исследовательский Томский политехнический университет (ТПУ) ; ред. коллегия Е. А. Вайтулевич ; Г. А. Лямина ; Г. А. Воронова ; М. П. Никитич ; А. М. Лидер ; Ю. Р. Цой ; М. Е. Семенов. [С. 542-544].— , 2012 |
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| 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. |
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2012
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| Series: | Математика |
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| 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 |
| Physical Description: | 1 файл(551 Кб) |
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| 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. |