Historical VaR as a stock fund diversification assessment tool
Purpose: the aim of this study is to assess the potential maximum loss in more concentrated investment portfolios and more diversified portfolios using the VaR calculation as a tool for controlling and managing market risk. For this, the study proposes to answer the following research question: &quo...
| Autores: | , , |
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| Tipo de recurso: | artículo |
| Estado: | Versión publicada |
| Fecha de publicación: | 2022 |
| País: | Brasil |
| Institución: | Universidade Federal do Rio Grande do Norte (UFRN) |
| Repositorio: | Revista Ambiente Contábil |
| Idioma: | portugués |
| OAI Identifier: | oai:periodicos.ufrn.br:article/25998 |
| Acceso en línea: | https://periodicos.ufrn.br/ambiente/article/view/25998 |
| Access Level: | acceso abierto |
| Palabra clave: | VaR Equity Funds Capital Markets Fondos de Renta Variable Mercados de Capitales Fundos de Ações Mercado de Capitais Value at Risk Fundos de investimentos em ações Diversificação |
| Sumario: | Purpose: the aim of this study is to assess the potential maximum loss in more concentrated investment portfolios and more diversified portfolios using the VaR calculation as a tool for controlling and managing market risk. For this, the study proposes to answer the following research question: "Do more diversified equity funds present less risk?" Methodology: the historical simulation model was applied, considering seven portfolios of equity investment funds (FIAs) and 493 daily returns, under the 95% confidence level. Results: the results indicated that the maximum expected loss is higher in more concentrated portfolios. Therefore, the diversification strategy helped to reduce risk and is an important instrument to be considered in a stock portfolio. Contributions of the Study: the main contribution of the study is to provide subsidies for investors and asset managers, while providing a simulation and practical application of VaR in the analysis of portfolio diversification in equity investment funds. |
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