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

Control of investment portfolio based on complex quantile risk measures

Rent the article at a discount

Rent now

* Final gross prices may vary according to local VAT.

Get Access

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.

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.