Comparing Variance/Covariance and Historical Simulation in the Context of the Financial Crisis – Do Extreme Movements Have an Influence onto Portfolio Selection?
Portfolio theory and the basic ideas of Markowitz have been extended in the recent past by alternative risk models as historical simulation or even copula functions. The central question of this paper is if these approaches lead to different results compared to the classical variance/covariance appr...
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| Format: | Article |
| Language: | English |
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Masaryk University
2010-09-01
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| Series: | Financial Assets and Investing |
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| Online Access: | http://is.muni.cz/do/econ/soubory/aktivity/fai/17809295/FAI_issue2010_01_reuse.pdf |