Econometrics of portfolio risk analysis†

DOI10.1080/00207728408926621zbMATH Open0544.90004OpenAlexW2021938988MaRDI QIDQ3335461FDOQ3335461

Authors: J. K. Sengupta 

Publication date: 1984

Published in: International Journal of Systems Science. Principles and Applications of Systems and Integration (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00207728408926621

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zbMATH Keywords

robustnesssingularitydiversificationrisk sensitivityportfolio risk analysisNew York Stock Exchange

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Economic time series analysis (91B84)

Cites Work

• Linear Statistical Inference and its Applications
• On the Sampling Theory of Roots of Determinantal Equations
• A minimax policy for optimal portfolio choice

Cited In (5)

• Structural analysis of portfolio risk using beta impulse response functions
• Note—Naive Diversification and Portfolio Risk—A Note
• Title not available (Why is that?)
• Econometric methods for derivative securities and risk management
• Demand for risky financial assets: A portfolio analysis

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