Risk measures and portfolio construction in different economic scenarios

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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...

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Bibliographic Details
Main Authors:	Saiful Hafizah Jaaman, Weng, Hoe Lam, Zaidi Isa
Format:	Article
Language:	English
Published:	Universiti Kebangsaan Malaysia 2013
Online Access:	http://journalarticle.ukm.my/6293/ http://journalarticle.ukm.my/6293/1/22_Saiful_Hafizah.pdf

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