Risk analysis of portfolio based on kernel density estimation-maximum likelihood method and Monte Carlo simulation

MaRDI QIDQ3178853zbMATH OpenFDO

Authors

Publication date 20 December 2016

zbMATH Keywords

sensitivity analysisvalue at risk (VaR)portfolio selection model

Mathematics Subject Classification ID

Density estimation (62G07) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Portfolio theory (91G10)

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Cited in

(1)

• Risk analysis of the investment portfolio based on the POT-VaR hybrid model

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