INCREMENTAL VALUE AT RISK - SELECTION, CRITERION FOR PORTFOLIO COMPOSITION. CASE STUDY

Carmen Maria Lacatus (Constantinescu) ()

Theoretical and Applied Economics, 2008, vol. 11(528)(supplement), issue 11(528)(supplement), 356-363

Abstract: This paperwork underlines the importance of the index of Value at Risk in measuring global portfolio risk and the incremental risk induced from any additional assets. The advantage of the method is made evident practically. Starting from Markowitz portfolio selection algorithm, seeing the good effects of the diversification on risk, we suggested the insertion of new titles in the portfolio. Their selection was not made relying on the old fundamental analysis, but on a new one, Incremental Value at Risk. So, we avoided to calculate many indexes, insuring the efficiency growth in portfolio selection and diversification area.

Keywords: return, risk; optimal portfolio; portfolio diversification; value at risk. (search for similar items in EconPapers)
Date: 2008
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Persistent link: https://EconPapers.repec.org/RePEc:agr:journl:v:11(528)(supplement):y:2008:i:11(528)(supplement):p:356-363

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