Comparative Analysis of Polish Equity Open-end Mutual Funds' Portfolios Using Estimators of Risk Measures and Risk-Tolerance Coefficient

Joanna Olbrys

Chapter 9 in FindEcon Monograph Series: Advances in Financial Market Analysis, 2011, vol. 9, pp 141-154 from University of Lodz

Abstract: Joanna Olbryś in Chapter 9 calculates the risk exposures of Polish equity open-end mutual funds' portfolios with VaR and ES methodology. She compares the traditional results with risk-tolerance coefficient that measures the level of aggressiveness present in their investment strategies.

Keywords: Risk measures; Risk-tolerance coefficient; Polish equity open-end mutual funds (search for similar items in EconPapers)
JEL-codes: C01 E02 F00 G00 (search for similar items in EconPapers)
Date: 2011
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