Abstract:Purpose: The aim of this study is to assess the potential maximum loss in more concentrated investment portfolios and more diversified portfolios using the VaR calculation as a tool for controlling and managing market risk. For this, the study proposes to answer the following research question: "Do more diversified equity funds present less risk?"
Methodology: The historical simulation model was applied, considering seven portfolios of equity investment funds (FIAs) and 493 daily returns, under the 95% c… Show more
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