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2016 | 11 | 3 | 277-298
Article title

Assessing the Efficiency of Investment Fund Management Using Quantile Risk Measures

Title variants
Languages of publication
EN
Abstracts
EN
The aim of the research is to compare the efficiency of managing selected Polish investment funds in various phases of stock market condition. The Value at Risk (VaR) and Conditional Value at Risk (CVaR) is used to construct efficiency ratios of fund management. Those funds investing in financial instruments have the most stable expected rate of return and the lowest risk, in all the analysed periods which made them highly effective. The article also discusses the alternative methods to VaR and CVaR estimation which are used in the study. It is noted VaR and CVaR estimates obtained using backtesting and using APARCH models give similar results.
Year
Volume
11
Issue
3
Pages
277-298
Physical description
Dates
published
2016-09-30
Contributors
  • University of Warmia and Mazury in Olsztyn
  • Poznań University of Economic
References
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Document Type
Publication order reference
Identifiers
YADDA identifier
bwmeta1.element.desklight-7fe920cb-4cc9-4c7c-9704-1669326b1f5c
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