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Incremental Value At Risk - Selection, Criterion For Portfolio Composition. Case Study

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  • Carmen Maria Lacatus

    (Academy of Economic Studies, Bucharest)

Abstract

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.

Suggested Citation

  • Carmen Maria Lacatus, 2008. "Incremental Value At Risk - Selection, Criterion For Portfolio Composition. Case Study," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania - AGER, vol. 11(11(528)(s), pages 356-363, November.
    • Handle: RePEc:agr:journl:v:11(528)(supplement):y:2008:i:11(528)(supplement):p:356-363
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