Theoretical and Applied Economics
No. 4 / 2020 (625), Winter
Portfolio optimization with VaR approach: A comparative analysis for Japan, London, New York and India
Apeejay School of Management, Dwarka, New Delhi
Priya GUPTA
Lal Bahadur Shastri Institute of Management, Dwarka, New Delhi
Abstract. Risk managers use various types of techniques to estimate different kinds of risk and ways to minimize its impact. VaR which stands for Value at Risk is one of those techniques. Various new methods for calculation of VaR have been developed. In this study, four techniques of VaR estimations have been employed: i) Historical Simulation; ii) Variance Covariance Approach; iii) Monte Carlo Simulation, and iv) AR-GARCH method. The purpose of this study is to compare the different VaR estimation methods and draw conclusions based on the Back- Testing methods.
As per the analysis, historical method proved to be the best method for estimating value at risk. This method is widely preferred by risk managers and practitioners in the banking sector. Though the portfolios used in the study was diversified and contained stocks from different sectors, still the historical simulation method came out to be on the top as it was accepted for all the four portfolios. This method does have some limitations as the patterns generated from the past data may not hold true all the time.
Contents
The European Union in the face of the prospect of achieving major objectives in the conditions of the pandemic and economic-financial crisis
What determines the portfolio investment flows to Central and Eastern European Countries in the European Union 2001-2017?
Analysis of the correlation between taxation indicators and economic growth at the macroeconomic level in European Union and Romania
Measuring Adobe Company performance from the perspective of a Complex Adaptive System
Welfare enhancing uncertainty
Business process modeling. Using Unified Modeling Language to streamline the design of the TO-BE system within a company
Static and dynamic analysis of intra-industry trade of BRICS countries
Fossil fuel consumption, economic growth and CO2 emissions. Causality evinced from the BRICS world
Methods used in risk financing
Is there a relationship between economic welfare and innovation performance? Evidence from selected European countries
Analyzing Romania GDP: Final consumption, gross investment, and net exports influence compared to previously published models
Analysis of the natural movement of the population under the spectrum of the health crisis
On the relationship between economic growth and government debt for Bulgaria. Test of the Reinhart-Rogoff hypothesis
Testifying the role of regulatory environment in trade facilitation: Impact on intra-regional trade in South-Asia
India and trade blocs: A gravity model analysis
Predicting the volatility in stock return of emerging economy: An empirical approach
Portfolio optimization with VaR approach: A comparative analysis for Japan, London, New York and India
Income-dependent impacts of financial development and human capital on economic growth. A non-stationary panel analysis
Monetary policy and exchange rate pass-through in India
Impact of medium of instruction in education on economic growth and development
Institutions and economic growth: A comparative analysis of developing and developed countries based on institutionalized social technologies index
Exports, imports and economic growth in India: An empirical analysis
BEPS – A challenge for the increasing budget revenues in the process of digitalization
Implementation of public policies. The compatibility of the model of public policy with the target space of the policy
Fiscal sustainability in Romania