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A comparative study of the extreme value theory model in investments

dc.creatorĐaković, Vladimir
dc.creatorAnđelić, Goran
dc.date.accessioned2023-04-07T14:03:47Z
dc.date.available2023-04-07T14:03:47Z
dc.date.issued2014
dc.identifier.issn1820-6859
dc.identifier.urihttps://redun.educons.edu.rs/handle/123456789/226
dc.description.abstractPredmet istraživanja u radu jeste implementacija komparativne studije modela teorije ekstremnih vrednosti (EVT) u aktivnostima investiranja. Shodno tome, fokus istraživanja je na analiziranju performansi primene modela teorije ekstremnih vrednosti (EVT), delta normal VaR-a (D VaR) i istorijske simulacije (HS VaR) na tranzitornom tržištu Republike Srbije sa nivoom pouzdanosti od 95% za 100 i 300 dana. Cilj koji se želi ostvariti istraživanjem jeste dolaženje do kvalitetnih i pouzdanih informacija o mogućnostima primene različitih modela kalkulacije VaR-a u optimizaciji efekata od aktivnosti investiranja na domicilnom tržištu. Metodologija istraživanja korišćena u radu obuhvata analizu MANOVA, diskriminativnu analizu i Roy-ev test. Glavni rezultati istraživanja ukazuju da postoji statistička značajna razlika u performansama primene testiranih modela, odnosno uspešnosti predikcije rizika od aktivnosti investiranja. Rezultati istraživanja biće korisni kako akademskoj, tako i stručnoj javnosti, u smislu značajnog proširivanja kognitivne baze o mogućnostima primene različitih modela kalkulacije VaR-a u aktivnostima investiranja na tranzitornom tržištu Republike Srbije.sr
dc.description.abstractThe subject of the research is the implementation of the comparative study of the Extreme Value Theory model (EVT) in investments. In that sense, the scope of the research is to analyze performances of the Extreme Value Theory model (EVT), Delta normal VaR (D VaR) and Historical Simulation (HS VaR) models on the transitional market of the Republic of Serbia with confidence level of 95% for 100 and 300 days. The aim of the research is to provide quality and reliable information about the implementation possibilities of different VaR calculation models in investments optimization on the domestic market. The methodology of the research comprises the MANOVA analyses, discriminant analysis and Roy's test. The main results of the research show that there is a statistically significant difference in the performance of the tested models; that is, in the accuracy of prediction of the risk from investment activities. The results of the research will be useful to both academic and practical communities regarding significant growth of the cognitive base of implementation possibilities of different VaR calculation models in the investment activities on the transitional market of the Republic of Serbia.en
dc.publisherUniverzitet Edukons - Fakultet poslovne ekonomije, Sremska Kamenica
dc.relationinfo:eu-repo/grantAgreement/MESTD/Integrated and Interdisciplinary Research (IIR or III)/47028/RS//
dc.rightsopenAccess
dc.rights.urihttps://creativecommons.org/licenses/by/4.0/
dc.sourcePoslovna ekonomija
dc.subjectteorija ekstremnih vrednostisr
dc.subjectriziksr
dc.subjectistorijska simulacijasr
dc.subjectinvestiranjesr
dc.subjectdelta normal VaRsr
dc.subjectrisken
dc.subjectinvestmentsen
dc.subjecthistorical simulationen
dc.subjectextreme value theoryen
dc.subjectdelta normal VaRen
dc.titleKomparativna studija modela teorije ekstremnih vrednosti u investiranjusr
dc.titleA comparative study of the extreme value theory model in investmentsen
dc.typearticle
dc.rights.licenseBY
dc.citation.epage22
dc.citation.issue1
dc.citation.other8(1): 9-22
dc.citation.rankM51
dc.citation.spage9
dc.citation.volume8
dc.identifier.doi10.5937/PosEko1401009D
dc.identifier.fulltexthttp://redun.educons.edu.rs/bitstream/id/51/223.pdf
dc.identifier.rcubconv_543
dc.type.versionpublishedVersion


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