Control of investment portfolio based on complex quantile risk measures

DOI10.1134/S1064230711010084zbMath1270.91083MaRDI QIDQ356993

E. V. Tulupova, M. M. Kachkaeva, E. M. Bronshtein

Publication date: 29 July 2013

Published in: Journal of Computer and Systems Sciences International (Search for Journal in Brave)

zbMATH Keywords

optimization procedurevalue at riskconditional value at riskprofitability distribution functions

Mathematics Subject Classification ID

Portfolio theory (91G10)

Related Items

Stability analysis of efficient portfolios in a discrete variant of multicriteria investment problem with Savage's risk criteria ⋮ Multicriteria investment problem with Savage's risk criteria: theoretical aspects of stability and case study ⋮ Postoptimal analysis of bicriteria Boolean problems of selecting investment projects with Wald's and Savage's criteria ⋮ Security portfolio management based on combined entropic risk measures ⋮ Optimal payoff under the generalized dual theory of choice

Cites Work

• Risk preference modeling with conditional average: An application to portfolio optimization
• Coherent Measures of Risk
• Risk Measures and Comonotonicity: A Review
• DESIRABLE PROPERTIES OF AN IDEAL RISK MEASURE IN PORTFOLIO THEORY
• Handbook of Portfolio Construction

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