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- W2112933145 abstract "Value at risk is perhaps the most common measure of a portfolio9s exposure to loss. The simplest way to estimate value at risk is to calculate it directly from the portfolio9s expected return and standard deviation under the assumption that the portfolio9s returns are lognormally distributed. If the component returns of the portfolio are themselves lognormally distributed, however, it is incorrect to assume that the portfolio9s returns are also lognormal. For portfolios that include only long positions, this technically false assumption is a reasonably good approximation of the portfolios9 theoretical return distribution. For portfolios that include short positions, though, the authors explain why the assumption of lognormality for the total portfolio can be seriously misleading. In many typical cases, value at risk is substantially greater than indicated by a lognormal distribution." @default.
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- W2112933145 date "2002-04-30" @default.
- W2112933145 modified "2023-09-25" @default.
- W2112933145 title "Value at Risk for Portfolios with Short Positions" @default.
- W2112933145 doi "https://doi.org/10.3905/jpm.2002.319845" @default.
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