Applying Dynamic Risk Management Technique for Passively Invested Portfolio

被引：0

作者：

Ludhiyani, Arpit ^{[1
]}

Joshi, Satyadhar ^{[2
]}

Pathak, Riya ^{[3
]}

Parandkar, Parag ^{[4
]}

Katiyal, Sumant ^{[5
]}

机构：

[1] SMU, Indore, Madhya Pradesh, India

[2] Qcfinance In, Indore, Madhya Pradesh, India

[3] ATC, Indore, Madhya Pradesh, India

[4] DAVV, Indore, Madhya Pradesh, India

[5] DAVV, SOE, Indore, Madhya Pradesh, India

来源：

2015 2ND INTERNATIONAL CONFERENCE ON COMPUTING FOR SUSTAINABLE GLOBAL DEVELOPMENT (INDIACOM) | 2015年

关键词：

D O I：

暂无

中图分类号：

TP [自动化技术、计算机技术];

学科分类号：

0812 ;

摘要：

Reduction in the number of recessions have started a new concept known as Dynamic Risk Overlay concept. It was initiated after rise in overall systematic risks. We have proposed different methods that can be used as a source to provide hedging strategies in case of risks. VAR calculations are an important aspect to be considered while assessing the risks that a portfolio might encounter. We have implemented the calculations, costs on MATLAB. We have covered all the risk factors that a portfolio could face in different scenarios in this research.

引用

页码：661 / 666

页数：6

共 50 条

[21] Advancing project and portfolio management research: Applying strategic management theories
Killen, Catherine P.
Jugdev, Kam
Drouin, Nathalie
Petit, Yvan
INTERNATIONAL JOURNAL OF PROJECT MANAGEMENT, 2012, 30 (05) : 525 - 538
[22] DYNAMIC MODEL FOR BOND PORTFOLIO MANAGEMENT
BRADLEY, SP
CRANE, DB
MANAGEMENT SCIENCE SERIES B-APPLICATION, 1972, 19 (02): : 139 - 151
[23] RPA in Finance: supporting portfolio management Applying a software robot in a portfolio optimization problem
Magrin Ortiz, Felipe C.
Costa, Carlos J.
2020 15TH IBERIAN CONFERENCE ON INFORMATION SYSTEMS AND TECHNOLOGIES (CISTI'2020), 2020,
[24] THE MANAGEMENT WHEELS - A TECHNIQUE OF APPLYING MANAGEMENT PHILOSOPHIES
TARGOWSKI, AS
DATA MANAGEMENT, 1987, 25 (10): : 12 - 14
[25] STUDY ON THE RESAMPLING TECHNIQUE FOR RISK MANAGEMENT IN THE INTERNATIONAL PORTFOLIO SELECTION BASED ON CHINESE INVESTORS
Yu, Mei
Bian, Jiangze
Xie, Haibin
Zhang, Qin
Ralescu, Dan
INTERNATIONAL JOURNAL OF UNCERTAINTY FUZZINESS AND KNOWLEDGE-BASED SYSTEMS, 2013, 21 : 35 - 49
[26] Dynamic risk spillovers and portfolio risk management between precious metals and global foreign exchange markets
Mensi, Walid
Hammoudeh, Shawkat
Rehman, Mobeen Ur
Al-Maadid, Alanoud Ali S.
Kang, Sang Hoon
NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE, 2020, 51
[27] Applying Portfolio Management to Implement Ecosystem-Based Fishery Management (EBFM)
Jin, Di
DePiper, Geret
Hoagland, Porter
NORTH AMERICAN JOURNAL OF FISHERIES MANAGEMENT, 2016, 36 (03) : 652 - 669
[28] Applying multivariate time series forecasts for active portfolio management
Momtchil Pojarliev
Wolfgang Polasek
Financial Markets and Portfolio Management, 2001, 15 (2): : 201 - 211
[29] Applying Intelligent Portfolio Management to the Evaluation of Stalled Construction Projects
Erzaij, Kadhim Raheim
Hatem, Wadhah A.
Maula, Baydaa Hussain
OPEN ENGINEERING, 2020, 10 (01): : 552 - 562
[30] Portfolio optimization with perception-based risk measures in dynamic fuzzy asset management
Yuji Yoshida
Granular Computing, 2019, 4 : 615 - 627

← 1 2 3 4 5 →