search query: @author Spronk, J. / total: 4
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| Author: | Vermeulen, E. Spronk, J. Wijst, N. van der |
| Title: | Analyzing risk and performance using the multi-factor concept |
| Journal: | European Journal of Operational Research
1996 : AUG 23, VOL. 93:1, p. 173-184 |
| Index terms: | OPERATIONAL RESEARCH FINANCE RISK ANALYSIS |
| Language: | eng |
| Abstract: | In this paper, the authors present a new model to analyze the risk and the expected level of firm performance. This model is based on the multi-factor approach to risk, in which unexpected performance is explained through sensitivities to unexpected changes of risk factors. Instead of using the multi-factor approach for the analysis of security portfolios, it is used to analyze performance measures of firms. In this paper the multi-factor approach is not only used to analyze risk, but also to analyze the expected level of performance. |
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