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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| 主要作者: | |
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| 格式: | text |
| 語言: | English |
| 出版: |
Animo Repository
2015
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| 在線閱讀: | https://animorepository.dlsu.edu.ph/etd_masteral/4967 |
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| 機構: | De La Salle University |
| 語言: | English |