Browsing Master theses by Subject "Value at Risk"
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Mutual Fund Performance – An Empirical Analysis of China’s Mutual Fund Market
(2006)This paper investigates the performance of China’s mutual funds in the period 2001-2005 by using mean-variance, downside-risk and value-at-risk approaches. We distinguish between the open-end funds and closed-end funds ... -
Performance and Sensitivity Analysis of the VaR-Based Portfolio Insurance Strategy
(2011-07-21)This paper evaluates the empirical performance of the VaR Based Portfolio Insurance (VBPI) relative to the Constant Proportion Portfolio Insurance (CPPI) based on Swedish data for 1989-2011. The evaluation emphasizes on ...