Control of investment portfolio based on complex quantile risk measures

被引：7
|
作者：
Bronshtein, E. M. [1 ]
Kachkaeva, M. M. [1 ]
Tulupova, E. V. [1 ]
机构：
[1] Ufa State Aviat Tech Univ, Ufa 450000, Russia
来源：
JOURNAL OF COMPUTER AND SYSTEMS SCIENCES INTERNATIONAL | 2011年 / 50卷 / 01期
基金：
俄罗斯基础研究基金会;
关键词：
Risk Measure; System Science International; Financial Risk; Investment Portfolio; Coherent Risk Measure;
D O I：
10.1134/S1064230711010084
中图分类号：
TP18 [人工智能理论];
学科分类号：
081104 ; 0812 ; 0835 ; 1405 ;
摘要：
Combined measures of financial risks, which are convex combinations of known measures VaR and CVar and their analogues for right-hand tails of investment portfolio profitability distribution functions, are considered. Two-stage optimization procedure is developed for estimation of efficiency of proposed measures. Results of numerical experiment are presented.
引用
收藏
页码：174 / 180
页数：7
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