МОДЕЛЬ ВЫБОРА ИНВЕСТИЦИОННОГО ПОРТФЕЛЯ НА ОСНОВЕ КВАНТИЛЬНЫХ МЕР РИСКА

  • Андрей Алексеевич Кудрявцев Санкт-Петербургский государственный университет, Российская Федерация, 199034, Санкт-Петербург, Университетская наб., 7–9 https://orcid.org/0000-0001-7722-8044

Аннотация

The paper deals with the extension of classical Markowitz approach to portfolio selection. A new approach is needed as a result of intensive critique of that classical theory as well as modern requirements from supervision authorities. Those requirements have been generated with the Value-at-Risk methodology and Basle Accords (known as Basle I and Basle II). The solution of the problem seems to use conditional Value-at-Risk although there are some problems unsolved in the topics (mostly statistical ones).

Ключевые слова:

PORTFOLIO SELECTION, CAPM, BASEL ACCORD, COHERENT RISK MEASURES, VALUE-AT-RISK, CONDITIONAL VALUE-AT-RISK, WORST-CASE VALUE-AT-RISK

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Биография автора

Андрей Алексеевич Кудрявцев, Санкт-Петербургский государственный университет, Российская Федерация, 199034, Санкт-Петербург, Университетская наб., 7–9

кандидат экономических наук, доцент

Литература

Литература на русском языке

Коростелева М. В. Методы анализа рынка капитала. СПб., 2003.


References in Latin Alphabet

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Translation of references in Russian into English
Опубликован
2008-12-30
Как цитировать
Кудрявцев, А. А. (2008). МОДЕЛЬ ВЫБОРА ИНВЕСТИЦИОННОГО ПОРТФЕЛЯ НА ОСНОВЕ КВАНТИЛЬНЫХ МЕР РИСКА. Вестник Санкт-Петербургского университета. Экономика, (4), 095 - 102. извлечено от https://economicsjournal.spbu.ru/article/view/4150
Выпуск
Раздел
Финансы, кредит, страхование

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