Econometrics of portfolio risk analysis†

DOI10.1080/00207728408926621MaRDI QIDQ3335461zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

robustnesssingularitydiversificationrisk sensitivityportfolio risk analysisNew York Stock Exchange

Mathematics Subject Classification ID

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

Recommendations

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Cites work

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

Cited in

(5)

• Demand for risky financial assets: A portfolio analysis
• Note—Naive Diversification and Portfolio Risk—A Note
• Structural analysis of portfolio risk using beta impulse response functions
• Econometric methods for derivative securities and risk management
• scientific article; zbMATH DE number 6773654 (Why is no real title available?)

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