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Applied Economics Letters Volume 29, 2022 - Issue 18
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Research Article

Period value at risk and its estimation by Monte Carlo simulation

Yanli Huoa Department of Financial Engineering, China Jiliang University, Hangzhou, ChinaView further author information
,
Chunhui Xub Department of Risk Science in Finance and Management, Chiba Institute of Technology, Narashino, JapanCorrespondence[email protected]
View further author information
&
Takayuki Shiinac Department of Industrial and Management Systems Engineering, Waseda University, Tokyo, JapanView further author information
Pages 1675-1679 | Published online: 27 Jul 2021

References

  • Dowd, K. 2002. An Introduction to Market Risk Measurement. Chichester, England: John Wiley and Sons.
  • Huo, Y. 2014. “A New Indicator for Financial Risk and Portfolio Investment Based on It.” PhD Diss., Japan: Chiba Institute of Technology.
  • Huo, Y., C. Xu, K. Osaka, and M. Huang. 2014. “Period Value at Risk and Its Estimation by Simulation.” Information 17 (6): 2605–2617.
  • Karatzas, I., and S. Shreve. 1991. Brownian Motion and Stochastic Calculus. New York, USA: Springer.
  • Konno, H., and H. Yamazaki. 1991. “Mean Absolute Deviation Portfolio Optimization Model and Its Application to Tokyo Stock Market.” Management Science 37 (5): 517–531. doi:10.1287/mnsc.37.5.519.
  • Markowitz, H. 1952. “Portfolio Selection.” Journal of Finance 7: 77–91.
  • RiskMetrics Group. 1996. RiskMetrics - Technical Document. NY: J.P. Morgan.
  • Young, M. R. 1998. “A Minimax Portfolio Selection Rule with Linear Programming Solution.” Management Science 44 (5): 673–683. doi:10.1287/mnsc.44.5.673.

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