Measuring downside portfolio risk: All VaRs for equities are not equal

Journal of Portfolio Management

Volumn 26, Issue 1, 1999, Pages 96-107

  Johansson, Frederik ^a   Seiler, Michael J ^b   Tjarnberg, Mikael ^a  

^a HSBC Bank   (United States)

^b HAWAII PACIFIC UNIVERSITY   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0033634306     PISSN: 00954918     EISSN: None     Source Type: Journal    
DOI: 10.3905/jpm.1999.319773     Document Type: Review

References (2)

1. "Make VC User's Guide Version 1.0." Financial Engineering Associates, Inc. 1998. FEA Web-site: www.fea.com.
2. "RiskMetrics Technical Document," 4th Edition. J.P Morgan, 1998. J.P Morgan Web-site: www.jpmorgan.com.