Métodos de Evaluación del Riesgo para Portafolios de Inversión

Christian Johnson ()

Working Papers Central Bank of Chile from Central Bank of Chile

Abstract: This paper develops alternative methodologies to evaluate multiple assets portfolio risks. Total Return Analysis, Efficient Frontier, Value at Risk (VaR), Extreme Value Theory (EVT), Tracking Error (TE), and Monte carlo simulations are topics which are applied to a variety of fixed and variable return portfolios.

Date: 2000-03
New Economics Papers: this item is included in nep-pke
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:chb:bcchwp:67

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