Journal of Computer and Systems Sciences International

, Volume 50, Issue 1, pp 174–180

Control of investment portfolio based on complex quantile risk measures

Authors

  • E. M. Bronshtein
    • Ufa State Aviation Technical University
  • M. M. Kachkaeva
    • Ufa State Aviation Technical University
  • E. V. Tulupova
    • Ufa State Aviation Technical University
Control in Organizational and Social-Economic Systems

DOI: 10.1134/S1064230711010084

Cite this article as:
Bronshtein, E.M., Kachkaeva, M.M. & Tulupova, E.V. J. Comput. Syst. Sci. Int. (2011) 50: 174. doi:10.1134/S1064230711010084

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.

Copyright information

© Pleiades Publishing, Ltd. 2011