Control of investment portfolio based on complex quantile risk measures
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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.
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- Control of investment portfolio based on complex quantile risk measures
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Volume 50, Issue 1 , pp 174-180
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