Control in Organizational and Social-Economic Systems

Journal of Computer and Systems Sciences International

, Volume 50, Issue 1, pp 174-180

Control of investment portfolio based on complex quantile risk measures

  • E. M. BronshteinAffiliated withUfa State Aviation Technical University
  • , M. M. KachkaevaAffiliated withUfa State Aviation Technical University
  • , E. V. TulupovaAffiliated withUfa State Aviation Technical University

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Abstract

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.