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Control of Investment Portfolio Based on Complex Quantile Risk Measures
Company: Journal of Computer and Systems Sciences International
Company Url: Click here to open
Year Of Publication: 2011
Month Of Publication: January
Resource Link: Click here to open
Pages: 174-180
Download Count: 0
View Count: 1268
Comment Num: 0
Language: English
Source: article
Who Can Read: Free
Date: 6-7-2012
Publisher: Administrator
Summary
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.
(volume 50, number 1)
Author(s)
Bronshtein, Efim M. Sign in to follow this author
Kachkaeva, M. M. Sign in to follow this author
Tulupova, E.V. Sign in to follow this author
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