Performance of Philippine equity portfolios under value-at-risk and expected shortfall frameworks

• المؤلف الرئيسي: Sewane, Eden S.
• التنسيق: text
• اللغة: English
• منشور في: Animo Repository 2015
• الوصول للمادة أونلاين: https://animorepository.dlsu.edu.ph/etd_masteral/4967
• المؤسسة: De La Salle University

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...