Decomposing Value-at-Risk: The Case of a Fund of Funds Portfolio

Joanna Olbrys

Chapter 10 in FindEcon Monograph Series: Advances in Financial Market Analysis, 2007, vol. 5, pp 149-161 from University of Lodz

Abstract: In the Chapter 10 J. Olbrys presents how to calculate different measures of Value-at-Risk in the case of funds of funds recently established in the Polish capital market.

Keywords: Value-at-Risk; Fund of funds portfolio; Capital market (search for similar items in EconPapers)
JEL-codes: C01 E02 F00 G00 (search for similar items in EconPapers)
Date: 2007
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