Risk measures and portfolio construction in different economic scenarios
This paper compared the composition and performance of portfolios constructed by employing different risk measures utilizing the Malaysian share market data in three diverse economic scenarios. The risk measures considered were the mean-variance (MV) and their alternatives; the semi-variance (SV), m...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Universiti Kebangsaan Malaysia
2013
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| Online Access: | http://journalarticle.ukm.my/6293/ http://journalarticle.ukm.my/6293/ http://journalarticle.ukm.my/6293/1/22_Saiful_Hafizah.pdf |