Control of investment portfolio based on complex quantile risk measures

DOI10.1134/S1064230711010084zbMATH Open1270.91083MaRDI QIDQ356993FDOQ356993

E. V. Tulupova, M. M. Kachkaeva, Efim M. Bronshteĭn

Publication date: 29 July 2013

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

zbMATH Keywords

value at riskconditional value at riskoptimization procedureprofitability distribution functions

Mathematics Subject Classification ID

Portfolio theory (91G10)

Cites Work

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

Cited In (9)

• Optimal control of the investment portfolio with respect to the quantile criterion
• Stability analysis of efficient portfolios in a discrete variant of multicriteria investment problem with Savage's risk criteria
• Optimal payoff under the generalized dual theory of choice
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• Quantile criterion-based control of the securities portfolio with a nonzero ruin probability
• 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
• Multicriteria investment problem with Savage's risk criteria: theoretical aspects of stability and case study

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