Article ID: | iaor20043058 |
Country: | Netherlands |
Volume: | 46 |
Issue: | 2 |
Start Page Number: | 383 |
End Page Number: | 388 |
Publication Date: | Apr 2004 |
Journal: | Computers & Industrial Engineering |
Authors: | Fan Ying, Wei Yi-Ming, Xu Wei-Xuan |
Keywords: | investment |
This paper applies the new risk management tool, Value at Risk (VaR) methodology, to the stock market in China. From the comparison between the predicted VaR and real return, the calculated results are mostly satisfied with the confidence level at 95%