文章基本信息

标题：INCREMENTAL VALUE AT RISK - SELECTION, CRITERION FOR PORTFOLIO COMPOSITION. CASE STUDY
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作者：Lacatus (Constantinescu), Carmen Maria
期刊名称：Theoretical and Applied Economics
印刷版ISSN：1841-8678
电子版ISSN：1844-0029
出版年度：2008
卷号：11(528)(supplement)
期号：11(528)(supplement)
页码：356-363
出版社：Asociatia Generala a Economistilor din Romania - AGER
摘要：This paperwork underlines the importance of the index of Value at Risk in measuring global portfolio risk and the incremental risk induced from any additional assets. The advantage of the method is made evident practically. Starting from Markowitz portfolio selection algorithm, seeing the good effects of the diversification on risk, we suggested the insertion of new titles in the portfolio. Their selection was not made relying on the old fundamental analysis, but on a new one, Incremental Value at Risk. So, we avoided to calculate many indexes, insuring the efficiency growth in portfolio selection and diversification area.
关键词：return; risk; optimal portfolio; portfolio diversification; value at risk.