Historical VaR as a stock fund diversification assessment tool
Purpose: The aim of this study is to assess the potential maximum loss in more concentrated investment portfolios and more diversified portfolios using the VaR calculation as a tool for controlling and managing market risk. For this, the study proposes to answer the following research question: &quo...
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Principais autores: | Oliveira, Victor Amancio de, Antônio, Rafael Moreira, Gatsios, Rafael Confetti |
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Formato: | Online |
Idioma: | eng |
Publicado em: |
Portal de Periódicos Eletrônicos da UFRN
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Endereço do item: | https://periodicos.ufrn.br/ambiente/article/view/29387 |
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