Статистическая оценка качества управления и риска портфеля паевых инвестиционных фондов
| Parent link: | Перспективы развития фундаментальных наук=Prospects of fundamental sciences development: сборник научных трудов XI Международной конференция студентов и молодых ученых, г. Томск, 22-25 апреля 2014 г./ Национальный исследовательский Томский политехнический университет (ТПУ) ; под ред. Е. А. Вайтулевич. [С. 581-584].— , 2014 |
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| Shrnutí: | Заглавие с экрана Mutual funds are the most convenient and affordable investment product for a private investor. In this article two portfolios of mutual funds of foreign and Russian securities are formed using the Markowitz's theory. According to the methodology CAPM for the selected portfolio analytical coefficients alpha and beta are calculated. The measure of risk Value-at-Risk for portfolio is calculated by historical simulation method. |
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2014
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| Edice: | Математика |
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| On-line přístup: | http://www.lib.tpu.ru/fulltext/c/2014/C21/195.pdf |
| Médium: | Elektronický zdroj Kapitola |
| KOHA link: | https://koha.lib.tpu.ru/cgi-bin/koha/opac-detail.pl?biblionumber=606942 |
| Fyzický popis: | 1 файл(399 Кб) |
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| Shrnutí: | Заглавие с экрана Mutual funds are the most convenient and affordable investment product for a private investor. In this article two portfolios of mutual funds of foreign and Russian securities are formed using the Markowitz's theory. According to the methodology CAPM for the selected portfolio analytical coefficients alpha and beta are calculated. The measure of risk Value-at-Risk for portfolio is calculated by historical simulation method. |