Hedging portfolio risk management with VaR

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F17%3A10237415" target="_blank" >RIV/61989100:27510/17:10237415 - isvavai.cz</a>
Result on the web
<a href="https://www.ekf.vsb.cz/export/sites/ekf/frpfi/cs/sbornik_prispevku/soubory/Part_I_final.pdf" target="_blank" >https://www.ekf.vsb.cz/export/sites/ekf/frpfi/cs/sbornik_prispevku/soubory/Part_I_final.pdf</a>
DOI - Digital Object Identifier
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Result language
angličtina
Original language name
Hedging portfolio risk management with VaR
Original language description
Hedging is the traditional approach to market risk management. It consists of taking positions that lower the risk profile of the portfolio. Usually, hedging strategy eliminating the financial risk and decrease low when operating the investment. It verified that application of chosen hedging strategy leads to decreasing or reducing the financial risk in financial market. This paper presents the hedging strategy f portfolio optimization based on Value at Risk (VaR) which considering normal distribution returns. The objective of paper is verifying of minimal VaR hedging portfolio. The method of verification that chosen hedging portfolio that estimating parameters of in-sample period and evaluate out-of-sample period.
Czech name
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Czech description
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Project
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Continuities
I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Publication year
2017
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
Financial Management of Firms and Financial Institutions : 11th international scientific conference : 6th - 7th September 2017, Ostrava, Czech Republic : proceedings.
ISBN
978-80-248-4138-0
ISSN
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e-ISSN
2336-162X
Number of pages
6
Pages from-to
264-269
Publisher name
VŠB - Technická univerzita Ostrava
Place of publication
Ostrava
Event location
Ostrava
Event date
Sep 6, 2017
Type of event by nationality
EUR - Evropská akce
UT code for WoS article
000508278200031

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