Portfolio Performance Evaluation Using Value at Risk

Gordon J. Alexander; Alexandre M. Baptista

doi:10.3905/jpm.2003.319898

Portfolio Performance Evaluation Using Value at Risk

The Journal of Portfolio Management ◽

10.3905/jpm.2003.319898 ◽

2003 ◽

Vol 29 (4) ◽

pp. 93-102 ◽

Cited By ~ 36

Author(s):

Gordon J. Alexander ◽

Alexandre M. Baptista

Keyword(s):

At Risk ◽

Performance Evaluation ◽

Value At Risk ◽

Portfolio Performance

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Portfolio performance evaluation in Mean-CVaR framework: A comparison with non-parametric methods value at risk in Mean-VaR analysis

Operations Research Perspectives ◽

10.1016/j.orp.2017.02.001 ◽

2017 ◽

Vol 4 ◽

pp. 21-28 ◽

Cited By ~ 7

Author(s):

Shokoofeh Banihashemi ◽

Sarah Navidi

Keyword(s):

At Risk ◽

Performance Evaluation ◽

Value At Risk ◽

Portfolio Performance ◽

Parametric Methods ◽

Var Analysis ◽

Non Parametric

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Expansion of the investment portfolio performance assessment model based on value-at-risk using a time series approach

IOP Conference Series Materials Science and Engineering ◽

10.1088/1757-899x/567/1/012015 ◽

2019 ◽

Vol 567 ◽

pp. 012015

Author(s):

Sukono ◽

D Susanti ◽

E S Hasbullah ◽

Y Hidayat ◽

Subiyanto

Keyword(s):

At Risk ◽

Time Series ◽

Performance Assessment ◽

Value At Risk ◽

Assessment Model ◽

Portfolio Performance ◽

Investment Portfolio ◽

Model Based ◽

Time Series Approach

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Value at Risk as a Tool for Mutual Funds Performance Evaluation

International Business Research ◽

10.5539/ibr.v7n10p16 ◽

2014 ◽

Vol 7 (10) ◽

Cited By ~ 3

Author(s):

Reza Tehrani ◽

Saeed Mirza Mohammadi ◽

Neda Sadat Nejadolhosseini

Keyword(s):

At Risk ◽

Performance Evaluation ◽

Mutual Funds ◽

Value At Risk

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Performance evaluation of the Bayesian and classical value at risk models with circuit breakers set up

International Journal of Computational Economics and Econometrics ◽

10.1504/ijcee.2020.108384 ◽

2020 ◽

Vol 10 (3) ◽

pp. 222

Author(s):

GholamReza Keshavarz Haddad ◽

Hadi Heidari

Keyword(s):

At Risk ◽

Performance Evaluation ◽

Value At Risk ◽

Circuit Breakers ◽

Risk Models ◽

Set Up

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Performance Evaluation of Islamic Unit Trust by Adapting Value at Risk: Some Evidence

International Journal of Academic Research in Accounting Finance and Management Sciences ◽

10.6007/ijarafms/v11-i1/7725 ◽

2021 ◽

Vol 11 (1) ◽

Author(s):

Farah Azaliney Mohd Amin ◽

Nurul Aziera Saim ◽

Sharifah Izzatul Farhanah Syed Putera ◽

Siti Nurul Ain Alwi

Keyword(s):

At Risk ◽

Performance Evaluation ◽

Value At Risk ◽

Unit Trust

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Portfolio Performance and Value-at-Risk

Islamic Capital Markets ◽

10.1002/9781119199106.ch14 ◽

2015 ◽

pp. 453-489

Keyword(s):

At Risk ◽

Value At Risk ◽

Portfolio Performance

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Performance evaluation of the Bayesian and classical value at risk models with circuit breakers set up

International Journal of Computational Economics and Econometrics ◽

10.1504/ijcee.2020.10029944 ◽

2020 ◽

Vol 10 (3) ◽

pp. 222

Author(s):

GholamReza Keshavarz Haddad ◽

Hadi Heidari

Keyword(s):

At Risk ◽

Performance Evaluation ◽

Value At Risk ◽

Circuit Breakers ◽

Risk Models ◽

Set Up

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Extremwerttheorie und Value-at-Risk

WiSt - Wirtschaftswissenschaftliches Studium ◽

10.15358/0340-1650-2015-5-259 ◽

2015 ◽

Vol 44 (5) ◽

pp. 259-267

Author(s):

Frank Schuhmacher ◽

Benjamin R. Auer

Keyword(s):

At Risk ◽

Value At Risk

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Value at Risk

Controlling ◽

10.15358/0935-0381-2004-7-425 ◽

2004 ◽

Vol 16 (7) ◽

pp. 425-426

Author(s):

Mischa Seiter ◽

Sven Eckert

Keyword(s):

At Risk ◽

Value At Risk

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How IXIS CIB Applies Value-At-Risk Calculation to Real Estate Investments

10.15396/eres2005_189 ◽

2005 ◽

Keyword(s):

At Risk ◽

Real Estate ◽

Value At Risk ◽

Risk Calculation ◽

Real Estate Investments

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