Control of investment portfolio based on complex quantile risk measures

DOI10.1134/S1064230711010084MaRDI QIDQ356993zbMATH OpenFDO

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

Publication date 29 July 2013

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

Full work available at URL https://doi.org/10.1134/S1064230711010084

zbMATH Keywords

value at riskconditional value at riskoptimization procedureprofitability distribution functions

Mathematics Subject Classification ID

Portfolio theory (91G10)

Recommendations

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Cites work

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

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
• scientific article; zbMATH DE number 5991605 (Why is no real title available?)
• scientific article; zbMATH DE number 1944676 (Why is no real title available?)
• 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
• Quantile criterion-based control of the securities portfolio with a nonzero ruin probability
• Multicriteria investment problem with Savage's risk criteria: theoretical aspects of stability and case study

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