IDEAS home Printed from https://ideas.repec.org/a/vrs/foeste/v9y2010i1p34-51n7.html
   My bibliography  Save this article

Riskmetrics™ Methodology in Assessment of Investment Risk on Capital Markets

Author

Listed:
  • Mentel Grzegorz

    (Department of Quantitative Methods, Faculty of Management, Rzeszow University of Technology, Powstańców Warszawy 8, 35-959 Rzeszów)

Abstract

In the article the author has presented the methodology of assessment of market risk connected with investing in all sorts of financial instruments such as: shares, bonds and other derivatives, e.g. RiskGrade (RG). The measure has been introduced by RiskMetrics. The article presents the application of RiskGrades methodology while choosing the optimum investment portfolio for a Polish investor who invests in shares in the Warsaw Stock Exchange. Moreover, some other risk measures have been discussed which describe the efficiency of the optimum financial portfolio.

Suggested Citation

  • Mentel Grzegorz, 2010. "Riskmetrics™ Methodology in Assessment of Investment Risk on Capital Markets," Folia Oeconomica Stetinensia, Sciendo, vol. 9(1), pages 34-51, January.
    • Handle: RePEc:vrs:foeste:v:9:y:2010:i:1:p:34-51:n:7
    DOI: 10.2478/v10031-010-0009-3
    as

    Download full text from publisher

    File URL: https://doi.org/10.2478/v10031-010-0009-3
    Download Restriction: no
    File URL: https://libkey.io/10.2478/v10031-010-0009-3?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    More about this item

    Keywords

    risk; capital market;

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:vrs:foeste:v:9:y:2010:i:1:p:34-51:n:7. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Peter Golla (email available below). General contact details of provider: https://www.sciendo.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.