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

zbMATH Open1353.91048MaRDI QIDQ3178853FDOQ3178853

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Publication date: 20 December 2016

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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)

Cited In (1)

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

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