Многомерный риск портфеля ценных бумаг. Value-at-Risk. Метод Монте-Карло; Перспективы развития фундаментальных наук
| Parent link: | Перспективы развития фундаментальных наук.— 2012.— [С. 542-544] |
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| Streszczenie: | 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. |
| Język: | rosyjski |
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2012
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| Seria: | Математика |
| Hasła przedmiotowe: | |
| Dostęp online: | http://www.lib.tpu.ru/fulltext/c/2012/C21/182.pdf |
| Format: | Elektroniczne Rozdział |
| KOHA link: | https://koha.lib.tpu.ru/cgi-bin/koha/opac-detail.pl?biblionumber=238528 |