About: Does the Square-root-of-time Rule lead to adequate Values in the Risk Management?

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About: Does the Square-root-of-time Rule lead to adequate Values in the Risk Management? - an actual Analysis Goto Sponge NotDistinct Permalink

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rdf:type	skos:Concept http://linked.opendata.cz/ontology/domain/vavai/Vysledek
Description	Measuring risk always leads to the aspect that a certain time horizon has to be defined. The square-root-of-time rule is a well-known and simple approach to scale risk onto certain holding periods. In addition, the autocorrelation effect is discussed often in theory and practice. This article tries to answer the question, whether the square-root-of-time rule is able to scale risk onto a defined holding period. In this context, a differentiation between price and total return indices is done. In the end, a concrete hint for the possibility to use the square-root-of-time rule shall be given. Measuring risk always leads to the aspect that a certain time horizon has to be defined. The square-root-of-time rule is a well-known and simple approach to scale risk onto certain holding periods. In addition, the autocorrelation effect is discussed often in theory and practice. This article tries to answer the question, whether the square-root-of-time rule is able to scale risk onto a defined holding period. In this context, a differentiation between price and total return indices is done. In the end, a concrete hint for the possibility to use the square-root-of-time rule shall be given. (en)
Title	Does the Square-root-of-time Rule lead to adequate Values in the Risk Management? - an actual Analysis Does the Square-root-of-time Rule lead to adequate Values in the Risk Management? - an actual Analysis (en)
skos:prefLabel	Does the Square-root-of-time Rule lead to adequate Values in the Risk Management? - an actual Analysis Does the Square-root-of-time Rule lead to adequate Values in the Risk Management? - an actual Analysis (en)
skos:notation	RIV/00216224:14560/13:00070863!RIV14-MSM-14560___
http://linked.open...avai/predkladatel	Ekonomicko-správní fakulta
http://linked.open...avai/riv/aktivita	S
http://linked.open...avai/riv/aktivity	S
http://linked.open...vai/riv/dodaniDat	2014
http://linked.open...aciTvurceVysledku	Svoboda, Martin
http://linked.open.../riv/druhVysledku	D - Článek ve sborníku
http://linked.open...iv/duvernostUdaju	S - Úplné a pravdivé údaje nepodléhající ochraně podle zvláštních právních předpisů
http://linked.open...titaPredkladatele	Masarykova univerzita / Ekonomicko-správní fakulta
http://linked.open...dnocenehoVysledku	70289
http://linked.open...ai/riv/idVysledku	RIV/00216224:14560/13:00070863
http://linked.open...riv/jazykVysledku	eng - angličtina
http://linked.open.../riv/klicovaSlova	VaR; square-root-of-time rule; risk; autocorrelation; historical simulation (en)
http://linked.open.../riv/klicoveSlovo	historical simulation autocorrelation risk square-root-of-time rule VaR
http://linked.open...ontrolniKodProRIV	[2BCA5C320849]
http://linked.open...v/mistoKonaniAkce	Ostrava
http://linked.open...i/riv/mistoVydani	Ostrava
http://linked.open...i/riv/nazevZdroje	Finanční řízení podniků a finančních institucí. 9th International Scientific Conference Proceedings Part II.
http://linked.open...in/vavai/riv/obor	AH
http://linked.open...ichTvurcuVysledku	1 (xsd:int)
http://linked.open...cetTvurcuVysledku	2 (xsd:int)
http://linked.open...UplatneniVysledku	2013
http://linked.open...iv/tvurceVysledku	Reuse, Svend Svoboda, Martin
http://linked.open...vavai/riv/typAkce	WRD - Světová
http://linked.open.../riv/zahajeniAkce	2013-01-01 (xsd:date)
issn	2336-162X
number of pages	10 (xsd:int)
http://purl.org/ne...btex#hasPublisher	VŠB - Technical university of Ostrava, Faculty of Economics, Finance Department
https://schema.org/isbn	9788024831725
http://localhost/t...ganizacniJednotka	14560

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