In the King?s English, the author seeks to acquaint readers with the modern theory of portfolio theory, capital market equilibrium, how institutional investors use modern risk models, and portfolio performance measures. Jack Treynor was at the forefront of these topics some 50 years ago and ...
lecture6 the meaning and measurement of risk and return Chap. 6 KMP LECTURE 6 The Meaning and Measurement of Risk & Return
Compared to the measurement of return, the measurement of risk is more important and complicated. 相对收益度量,风险的度量是更加复杂和重要的。 www.fabiao.net 4. Some Further Evidence for the Measurement of Risk and Portfolio 风险度量和投资组合构造的进一步实证 www.ilib.cn 5. Identification and mea...
To deal with the fuzzy uncertainty in RD portfolio,fuzzy set theory is applied to describe the uncertain data as fuzzy entropy is used to measure the portfolio risk.Based on the risk measurement model, the paper presents RD portfolio selection model under uncertainty.To solve the fuzzy model,a...
investmentmeasurementreturnsThe paper investigates three problem areas in the measurement of returns to agricultural assets. First, measuring returns as a ... BL Gardner,B Hottel - 《Proceedings Aaea Meeting》 被引量: 0发表: 1980年 Measuring risk and returns in the customer portfolio. :Everybody ...
Risk Measurement and Portfolio Risk Modelling Using Applications of Vine Copulas and Down-Side Risk Measures The proposal features the application of the recently developed graphically based risk and co-dependence measurement techniques in the form of Vine Copula ... DE Allen,AK Singh - 《Ssrn ...
Analysis of Risk-Adjusted Performance of Global Market Assets. Beyond providing recent risk, return, and correlation results, it also considers several questions regarding measurement of asset class performance for a large... Reilly,K Frank,Wright,... - 《Journal of Portfolio Management》 被引量:...
In calculating VaR of a portfolio,multivariate normal distributions are often assumed on the returns of the assets. Though simple for calculation of VaR,this assumption often does not conform with what are seen in the real market,and tends to underestimate risks in the extreme cases. To get ove...
Delivering dependable safety and security solutions for more than 50 years, we offer a comprehensive portfolio of products for any industry. Breadth – Full product suite, for a wide range of radiation detection needs. Quality – Designed and manufactured for a lifetime of use in the harshest ...
risk度量风险measurementportfoliotech RiskMeasurementRisk=ActualreturndeviatedfromExpectedReturn=ROIiE(R)OutcomeProbabilityRPPRR-R(R-R)2P(R-R)2Heads+10050%.5(100)100-0=10010,000.5(10,000)Tails-10050%.5(-100)-100-0=-10010,000.5(10,000)0 P(R-R)2R=E(R)= PR=0 2=10,000 =+/-100E(...