Work

A Value at Risk Approach to Risk-Return Analysis

Year: 1999

Type: article

Abstract: The author9s value at risk approach to risk-return analysis highlights the importance of dealing with net rather than gross exposures. A VaR approach can be used for investment, hedging, and general portfolio management decisions. It is particularly useful when making hedge decisions by helping to avoid a number of problems that can easily arise using the traditional approach to hedging.

Source: The Journal of Portfolio Management

DOI: 10.3905/jpm.1999.319755

Author: Kevin Dowd

Institution: University of Sheffield

Language: English

Topic: Financial Risk and Volatility Modeling

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

OpenAlex ID: W2090798566

FWCI: 4.127

Cites: 6

Cited by: 68

Related to: 10