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Métodos de Evaluación del Riesgo para Portafolios de Inversión

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  • Christian Andrew Johnson

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.

Suggested Citation

  • Christian Andrew Johnson, 2000. "Métodos de Evaluación del Riesgo para Portafolios de Inversión," Working Papers Central Bank of Chile 67, Central Bank of Chile.
  • Handle: RePEc:chb:bcchwp:67
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    File URL: http://si2.bcentral.cl/public/pdf/documentos-trabajo/pdf/dtbc67.pdf
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    Cited by:

    1. Pinto, Cristian F. & Acuña, Andres A., 2011. "Consistencia de la evaluación de desempeño de inversiones financieras: Pruebas de dominación estocástica versus índices media-varianza
      [Consistency in the evaluation of financial investment perform
      ," MPRA Paper 31301, University Library of Munich, Germany.
    2. Johnson, Christian A., 2001. "Un modelo de intervención cambiaria," El Trimestre Económico, Fondo de Cultura Económica, vol. 0(271), pages 339-367, julio-sep.
    3. Christian A.Johnson, 2001. "Value at risk: teoría y aplicaciones," Estudios de Economia, University of Chile, Department of Economics, vol. 28(2 Year 20), pages 217-247, December.
    4. Zeballos, David, 2010. "Non-Parametric methods: An application for the risk measurement," MPRA Paper 46251, University Library of Munich, Germany.

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