A New Wavelet Regression Based Approach That Calculates Portfolio Risk

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dc.authorid0000-0003-1186-8780en_US
dc.authorid0000-0002-0339-6050en_US
dc.contributor.authorYilmaz, Tarik
dc.contributor.authorGenc, Asir
dc.date.accessioned2021-01-04T09:24:01Z
dc.date.available2021-01-04T09:24:01Z
dc.date.issued2013en_US
dc.departmentSelçuk Üniversitesien_US
dc.description.abstractFor investors, one of the primary methods to reduce their risks is to create a portfolio by diversifying their investments. In studies conducted on portfolio management, a relation between the highest income and the lowest risk is aimed at. This is because investors tend to avoid risk and chose minimum level of risk at a given level of income, while choosing the highest level of income at a given risk level. In this case, accurate calculation of portfolio risk is crucial in terms of not misleading investors. In recent years, the statistically based Value at Risk (VaR) method has started to be widely used in determining market risk. VaR summarizes the maximum (worst) loss, at aimed time and at a given level of confidence. In the present study a new VaR calculation approach was proposed by using Wavelet regression. Effectiveness of this new method was tried to be demonstrated with an exemplary case.en_US
dc.identifier.citationYilmaz, T., Genc, A. (2013).A New Wavelet Regression Based Approach That Calculates Portfolio Risk. Journal of Selcuk University Natural and Applied Science, 2, (4), 67-84.en_US
dc.identifier.endpage84en_US
dc.identifier.issn2147-3781en_US
dc.identifier.issue4en_US
dc.identifier.startpage67en_US
dc.identifier.urihttps://hdl.handle.net/20.500.12395/40976
dc.identifier.volume2en_US
dc.language.isoenen_US
dc.publisherSelçuk Üniversitesien_US
dc.relation.ispartofJournal of Selcuk University Natural and Applied Scienceen_US
dc.relation.publicationcategoryMakale - Ulusal - Editör Denetimli Dergien_US
dc.rightsinfo:eu-repo/semantics/openAccessen_US
dc.selcuk20240510_oaigen_US
dc.subjectWavelet Regressionen_US
dc.subjectValue at Risken_US
dc.subjectPortfolio Risken_US
dc.titleA New Wavelet Regression Based Approach That Calculates Portfolio Risken_US
dc.typeArticleen_US

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