Control of investment portfolio based on complex quantile risk measures

Control of investment portfolio based on complex quantile risk measures

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 prop...

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Veröffentlicht in:Journal of computer & systems sciences international 2011-02, Vol.50 (1), p.174-180
Hauptverfasser: Bronshtein, E. M., Kachkaeva, M. M., Tulupova, E. V.
Format: Artikel
Sprache:eng
Schlagworte:
Computer science
Computer simulation
Control
Control in Organizational and Social-Economic Systems
Efficiency
Engineering
Financing
Investment
Mechatronics
Numerical analysis
Optimization
Portfolio investments
Portfolio management
Profitability
Profits
Quantiles
Risk
Robotics
Studies
VAR
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Beschreibung
Zusammenfassung: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.
ISSN:1064-2307
1555-6530
DOI:10.1134/S1064230711010084