Control of investment portfolio based on complex quantile risk measures

  • E. M. Bronshtein
  • M. M. Kachkaeva
  • E. V. Tulupova
Control in Organizational and Social-Economic Systems
  • 60 Downloads

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.

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Copyright information

© Pleiades Publishing, Ltd. 2011

Authors and Affiliations

  • E. M. Bronshtein
    • 1
  • M. M. Kachkaeva
    • 1
  • E. V. Tulupova
    • 1
  1. 1.Ufa State Aviation Technical UniversityUfaRussia

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