, Volume 50, Issue 1, pp 174-180
Date: 07 Mar 2011

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.

Original Russian Text © E.M. Bronshtein, M.M. Kachkaeva, E.V. Tulupova, 2011, published in Izvestiya Akademii Nauk. Teoriya i Sistemy Upravleniya, 2011, No. 1, pp. 178–183.