Value at Risk as a Tool for Mutual Funds Performance Evaluation
نویسندگان
چکیده
منابع مشابه
Performance Evaluation of Closed Ended Mutual Funds in Pakistan
Mutual funds are the best tool to mobilize savings and investments in an economy and Pakistan is the pioneer in South Asia, but this industry is not as much mature in comparison to its age in Pakistan. This paper examines the performance of closed ended mutual funds in Pakistan by using five different ranking measures during a period of January 2009 to December 2013 and the sample consists of o...
متن کاملRisk-Adjusted Performance of Mutual Funds
T he number of mutual funds has grown dramatically in recent years. The Financial Research Corporation data base, the source of data for this article, lists 7,734 distinct mutual fund portfolios. Mutual funds are now the preferred way for individual investors and many institutions to participate in the capital markets, and their popularity has increased demand for evaluations of fund performanc...
متن کاملEvaluation Approaches of Value at Risk for Tehran Stock Exchange
The purpose of this study is estimation of daily Value at Risk (VaR) for total index of Tehran Stock Exchange using parametric, nonparametric and semi-parametric approaches. Conditional and unconditional coverage backtesting are used for evaluating the accuracy of calculated VaR and also to compare the performance of mentioned approaches. In most cases, based on backtesting statistics Results, ...
متن کاملPerformance Persistence in Mutual Funds:
* The authors thank Russ Wermers for conversations related to performance persistence. The authors will not enter into any correspondence with members of the public concerning this report.
متن کاملconditional copula-garch methods for value at risk of portfolio: the case of tehran stock exchange market
ارزش در معرض ریسک یکی از مهمترین معیارهای اندازه گیری ریسک در بنگاه های اقتصادی می باشد. برآورد دقیق ارزش در معرض ریسک موضوع بسیارمهمی می باشد و انحراف از آن می تواند موجب ورشکستگی و یا عدم تخصیص بهینه منابع یک بنگاه گردد. هدف اصلی این مطالعه بررسی کارایی روش copula-garch شرطی در برآورد ارزش در معرض ریسک پرتفویی متشکل از دو سهام می باشد و ارزش در معرض ریسک بدست آمده با روشهای سنتی برآورد ارزش د...
ذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: International Business Research
سال: 2014
ISSN: 1913-9012,1913-9004
DOI: 10.5539/ibr.v7n10p16