Risk-Return Profile of the Investors on the Polish Treasury Bond Market

• Autorzy: Marcin Stamirowski
• Języki publikacji: EN

Abstrakty

EN

Chapter 8 is focused on asset prices, bond portfolios, and the risk issues. The risk measures under study - e.g. the decomposition of the portfolio variance - behave correctly in signaling the periods of increased investors' uncertainty. (fragment of text)

Słowa kluczowe

PL

Wycena aktywów; Obligacje; Dywersyfikacja portfela

EN

Asset valuation; Bonds; Portfolio diversification

• Czasopismo: FindEcon Monograph Series : advances in financial market analysis
• Rocznik: 2006
• Numer: nr 1 Financial markets : principles of modeling forecasting and decision-making
• Strony: 113-128

Twórcy

autor

Marcin Stamirowski

• Warsaw School of Economics, Poland

Bibliografia

• Holton G. (2004), Value-at-Risk: Theory and Practice, San Diego: Academic Press.
• Hull J. C. (2002), Options, Futures and Other Derivatives, Upper Saddle River: Prentice Hall.
• Sharpe W. F. (2002), "Budgeting and Monitoring Pension Fund Risk", Financial Analysts Journal, 58(5), 74-86.
• Svensson L. E. O. (1994), "Estimating and Interpreting Forward Interest Rates: Sweden 1992-1994", International Monetary Fund, Working Paper, 114.
• Tuckman B. (2002), Fixed Income Securities: Tools for Today's Markets, Hoboken: Wiley & Sons.