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
相关论文
共 50 条
  • [41] Predictive Control of Investment Portfolio on the Financial Market with Hidden Regime Switching and MS VAR Model of Returns
    Pashinskaya, T. Yu
    Dombrovskii, V. V.
    AUTOMATION AND REMOTE CONTROL, 2021, 82 (05) : 841 - 852
  • [42] Predictive Control of Investment Portfolio on the Financial Market with Hidden Regime Switching and MS VAR Model of Returns
    T. Yu. Pashinskaya
    V. V. Dombrovskii
    Automation and Remote Control, 2021, 82 : 841 - 852
  • [43] The two-step problem of investment portfolio selection from two risk assets via the probability criterion
    A. I. Kibzun
    A. N. Ignatov
    Automation and Remote Control, 2015, 76 : 1201 - 1220
  • [44] On a family of risk measures based on largest claims
    Castano-Martinez, A.
    Pigueiras, G.
    Sordo, M. A.
    INSURANCE MATHEMATICS & ECONOMICS, 2019, 86 : 92 - 97
  • [45] Range-based risk measures and their applications
    Righi, Marcelo Brutti
    Muller, Fernanda Maria
    ASTIN BULLETIN-THE JOURNAL OF THE INTERNATIONAL ACTUARIAL ASSOCIATION, 2023, 53 (03) : 636 - 657
  • [46] Risk measures based on behavioural economics theory
    Mao, Tiantian
    Cai, Jun
    FINANCE AND STOCHASTICS, 2018, 22 (02) : 367 - 393
  • [47] Risk measures based on behavioural economics theory
    Tiantian Mao
    Jun Cai
    Finance and Stochastics, 2018, 22 : 367 - 393
  • [48] Risk measures based on weak optimal transport
    Kupper, Michael
    Nendel, Max
    Sgarabottolo, Alessandro
    QUANTITATIVE FINANCE, 2025, 25 (02) : 163 - 180
  • [49] Portfolio Selection Model based on Drawdown Risk Measure with Different Inputs
    Pekar, Juraj
    Brezina, Ivan
    Reiff, Marian
    37TH INTERNATIONAL CONFERENCE ON MATHEMATICAL METHODS IN ECONOMICS 2019, 2019, : 145 - 149
  • [50] Remarks on a copula-based conditional value at risk for the portfolio problem
    Barreto, Andres Mauricio Molina
    Ishimura, Naoyuki
    INTELLIGENT SYSTEMS IN ACCOUNTING FINANCE & MANAGEMENT, 2023, 30 (03): : 150 - 170
12345