Non-Diversifiable Risk in Investment Portfolios --- an Aid to Investment Decision Making
estimators of diversifiable risk and portfolio expected returns to reflect normal market conditions. GARCH (General Auto - Regressive Conditional Heteroskedasticity) models are then used to make forecasts of given time series, from which future predictions of Non - Diversifiable risk, Diversifiable...
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| Format: | Article |
| Language: | English |
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Society for Risk Analysis - China
2015-04-01
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| Series: | Journal of Risk Analysis and Crisis Response (JRACR) |
| Subjects: | |
| Online Access: | https://www.atlantis-press.com/article/18932.pdf |