Different Approaches to Risk Estimation in Portfolio Theory

Almira Biglova, S. O., Rachev, S. T., & Stoyanov, S. (2004). Different Approaches to Risk Estimation in Portfolio Theory. Portfolio.

Type

Unclassified

Intellectual base

Unclassified

Year

2004

DOI

10.3905/jpm.2004.443328

Link

https://doi.org/10.3905/jpm.2004.443328

Cited by

1 citation across 1 artifact.

Domain-specific

• Rachev ratio
  • Tail levels may be symmetric or asymmetric, sign and loss conventions vary and estimates are highly sensitive to sample length, dependence, model choice and extreme observations.

Verification

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