Historical risk assessment of a balanced portfolio using Value-at-Risk
Calculation of the Value at Risk (VaR) measure, of a portfolio, can be done using Monte Carlo simulations of that portfolio's potential losses over a specified period of time. Regulators, such as the US Securities and Exchange Commission, and Exchanges, such as the New York Stock Exchange, esta...
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Digital WPI
2004
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| Online Access: | https://digitalcommons.wpi.edu/etd-theses/553 https://digitalcommons.wpi.edu/cgi/viewcontent.cgi?article=1552&context=etd-theses |