Open AccessOptimal portfolio and VaR of KOSPI200 using One-factor model
Author(s) -
Kwang Yee Ko,
Young Sook Son
Publication year - 2015
Publication title -
journal of the korean data and information science society
Language(s) - English
Resource type - Journals
ISSN - 1598-9402
DOI - 10.7465/jkdi.2015.26.2.323
Subject(s) - portfolio , value at risk , econometrics , economics , portfolio optimization , vector autoregression , stock (firearms) , investment (military) , actuarial science , risk management , financial economics , engineering , finance , political science , mechanical engineering , politics , law