Zastosowanie metody Monte Carlo w zarządzaniu Value at Risk portfela inwestycyjnego
This paper describes the use of the Monte Carlo method in the management of Value at Risk (VaR) of an investment portfolio. The essence of calculating the VaR is the use of a multi-component investment portfolio approach based on calculations matrix algebra where the main role is played by the va...
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| Format: | Article |
| Language: | English |
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Wydawnictwo Naukowe Wydziału Zarządzania Uniwersytetu Warszawskiego
2016-11-01
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| Series: | Problemy Zarządzania |
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| Online Access: | https://pz.wz.uw.edu.pl/resources/html/article/details?id=169926 |