Performance of Philippine equity portfolios under value-at-risk and expected shortfall frameworks
This study is an attempt to discover the effects of implementing risk constraints to portfolio value as a part of a prudent market risk management. Aside from value-at-risk as a constraint, the plausibility of using the Expected Shortfall is also explored to see whether it will be a better alternati...
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| Main Author: | |
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| Format: | text |
| Language: | English |
| Published: |
Animo Repository
2015
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| Online Access: | https://animorepository.dlsu.edu.ph/etd_masteral/4967 |
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| Institution: | De La Salle University |
| Language: | English |