A Value at Risk Approach to Risk-Return Analysis
- 31 July 1999
- journal article
- Published by With Intelligence LLC in The Journal of Portfolio Management
- Vol. 25 (4) , 60-67
- https://doi.org/10.3905/jpm.1999.319755
Abstract
The author's value at risk approach to risk-return analysis highlights the importance of dealing with net rather than gross exposures. A VaR approach can be used for investment, hedging, and general portfolio management decisions. It is particularly useful when making hedge decisions by helping to avoid a number of problems that can easily arise using the traditional approach to hedging.This publication has 4 references indexed in Scilit:
- Value at RiskThe Journal of Derivatives, 1997
- Hot Spots™ and HedgesThe Journal of Portfolio Management, 1996
- VAR: Seductive but DangerousCFA Magazine, 1995
- The Sharpe RatioThe Journal of Portfolio Management, 1994