Optimising a mining portfolio using CVaR [electronic resource] / D. E. Allen ... [et al.].
Optimising a mining portfolio using CVaR [electronic resource] / D. E. Allen ... [et al.].
About this item
Full title
Publisher
Joondalup, W.A. : School of Accounting, Finance and Economics, Edith Cowan University, 2011.
Date
2011.
Record Identifier
MMS ID
Language
English
Formats
Publication information
Publisher
Joondalup, W.A. : School of Accounting, Finance and Economics, Edith Cowan University, 2011.
Series
Place of Publication
Western Australia
Date Published
2011.
Subjects
More information
Scope and Contents
Summary
The mining industry can be extremely volatile during times of economic downturn. We compare extreme risk in mining share portfolios from each of the world?s seven leading mining areas using Conditional Value at Risk (CVaR) which measures those risks beyond traditional Value at Risk (VaR) metrics. We also show how CVaR can be used to optimise portfo...
Alternative Titles
Full title
Optimising a mining portfolio using CVaR [electronic resource] / D. E. Allen ... [et al.].
Authors, Artists and Contributors
Notes
General note
Working paper / School of Accounting, Finance and Economics, Edith Cowan University ; 1106.
Title from title screen (viewed on Aug. 1, 2012)
"November 2011".
Other authors: "A. R. Kramadibrata, R. J. Powell and A. K. Singh".
Includes bibliographical references (p. 11)
System details note
Mode of access: Available online. Address as at 01/08/2012: http://www.business.ecu.edu.au/schools/afe/wps/index.htm.
System requirements: Adobe Acrobat Reader to access the document in PDF format.
Contextual Information
Other version (online)
Identifiers
Primary Identifiers
Record Identifier
74Vvj3ExJlzX
Permalink
https://devfeature-collection.sl.nsw.gov.au/record/74Vvj3ExJlzX
Other Identifiers
DDC
338.2
MMS ID
991015148639702626
