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Métodos de Evaluación del Riesgo para Portafolios de Inversión

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Author Info
Christian Andrew Johnson

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Abstract

This paper develops alternative methodologies to evaluate multiple assets portfolio risks. Total Return Analysis, Efficient Frontier, Value at Risk (VaR), Extreme Value Theory (EVT), Tracking Error (TE), and Monte carlo simulations are topics which are applied to a variety of fixed and variable return portfolios.

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File URL: http://www.bcentral.cl/estudios/documentos-trabajo/pdf/dtbc67.pdf
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Publisher Info
Paper provided by Central Bank of Chile in its series Working Papers Central Bank of Chile with number 67.

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Date of creation: Mar 2000
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Handle: RePEc:chb:bcchwp:67

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  1. Christian A. Johnson, 2000. "Un Modelo de Intervención Cambiaria," Working Papers Central Bank of Chile 90, Central Bank of Chile. [Downloadable!]
  2. Christian A. Johnson, 2002. "Value at Risk: Teoría y Aplicaciones," Working Papers Central Bank of Chile 136, Central Bank of Chile. [Downloadable!]
  3. Christian A. Johnson, 2000. "Value at Risk Ajustado por Liquidez: Una Aplicación a los Bonos Soberanos Chilenos," Working Papers Central Bank of Chile 76, Central Bank of Chile. [Downloadable!]
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This page was last updated on 2009-12-2.

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