Optimisation of time-varying asset pricing models with penetration of value at risk and expected shortfall

Artigo publicado em revista científica internacional

Detalhes bibliográficos
Autor principal: Nasir, Adeel (author)
Outros Autores: Khan, Kanwal Iqbal (author), Mata, Mário Nuno (author), Mata, Pedro (author), Martins, Jéssica Nunes (author)
Formato: article
Idioma:eng
Publicado em: 2021
Assuntos:
Value at risk
Expected shortfall
CAPM
Fama and French
VaR
Asset pricing
Risk and return
Risk management
Mathematical modelling
Texto completo:http://hdl.handle.net/10400.21/13106
País:Portugal
Oai:oai:repositorio.ipl.pt:10400.21/13106

Texto Completo

http://hdl.handle.net/10400.21/13106

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