Value-at-Risk (VaR) - Impact on Asset Allocation Decision and Portfolio Performance

by Ado, Aminu
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Ado, Aminu Value-at-Risk (VaR) - Impact on Asset Allocation Decision and Portfolio Performance
Ado, Aminu - Value-at-Risk (VaR) - Impact on Asset Allocation Decision and Portfolio Performance

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Contemporarily, the sophistication of financial markets coupled with possibilities of high volatilities, thinning of margin and shareholder value erosion have necessitated the search for a model that could have predictive powers which fund managers would leverage on to help with risk management phenomenon. Value-at-Risk (VaR) has recently become popular as an alternative risk measure especially with the traditional beta ( ) measure of market risk coming under heavy critism due to the heightened concern expressed by financial experts as to whether it actually captures and appropriately price the risk of the market. VaR has been defined as a summary measure that indicates the worst loss that could occur to a portfolio or a single asset over a target horizon with a given level of confidence. The research took a cursory look at the empirical relationship that exists between this rapidly evolving measure of risk and its influence on the everyday asset allocation decisions that fund managers are involved with and to discover how this links with portfolio performance at various allocation mixes. To simplify the approach, only two classes of assets were considered; equity and cash.


Ado, Aminu

Further information

Media Type:
LAP Lambert Academic Publishing
Biography Artist:
B.Sc. (2.1), MBA, M.Sc: Studied Financial Management at the Robert Gordon University (RGU), Aberdeen, UK. Started his career in banking with FSB Int'l Bank Plc (Nig.), later worked with Accenture UK before moving to Baker Hughes UK as an Accountant. Currently with Tita-Kuru Petrochemicals Ltd as Manager, Accounts and Admin. He is married with a kid.
Number of Pages:

Master Data

Product Type:
Paperback book
Release date:
26 July 2010
Package Dimensions:
0.22 x 0.15 x 0.005 m; 0.177 kg
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