Control of investment portfolio based on complex quantile risk measures

DOI10.1134/S1064230711010084zbMATH Open1270.91083MaRDI QIDQ356993FDOQ356993

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)

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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
• Title not available (Why is that?)
• Title not available (Why is that?)
• 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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