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Measurement and Disclosure of Value at Risk for Mutual Fund Portfolios
Finance & Accounting
Pages 25 (6275 words)
Assessment III Topic: Measurement and Disclosure of Value at Risk for Mutual Fund Portfolios Student Name: Fatimah Al-Faraj ID#: 200600528 2011 Table of Contents Abstract 4 Chapter 1: Introduction 5 1.1 Background 5 1.2 Motivation 6 1.3 Problem statement 7 1.4 Thesis statement 9 1.5 Research Hypothesis 9 1.6 Definition of Terms 10 Chapter 2: Literature review 11 2.1 History of Mutual Funds 11 2.2 Definition of mutual funds 12 2.3 Types of Mutual Funds 12 2.3.1 Open-end companies 13 2.3.2 Management Companies 13 2.4 Measurement of the risk at mutual funds 14 2.4.1 Shape ratio 15 2.4.2 Treynor Ratio 15 2.4.3 Jensen’s Alpha 16 2.4.4 Sharpe-Optimal Portfolios 17 2.4.5 Performance of the Differe
Volatility testing and forecasting has been done in using different options of mean and variation specification of models that are further compared with proxies of factual volatility that is determined by making use of daily statistics. In sample, testing has suggested that the regressions pertaining to volatility estimation on results giving attractive outcomes in terms of the downbeat relationships amongst mutual fund returns and unexpected volatility. A thorough and experiential examination has been done of the mean returns and conditional variation in different mutual funds by using the GARCH model. ...
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