The Investment Portfolio Selection Model Based on Quantile Risk Measures

Authors

  • Андрей Алексеевич Кудрявцев St. Petersburg State University, 7–9, Universitetskaya nab., St. Petersburg, 199034, Russian Federation https://orcid.org/0000-0001-7722-8044

Abstract

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).

Keywords:

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

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Author Biography

Андрей Алексеевич Кудрявцев, St. Petersburg State University, 7–9, Universitetskaya nab., St. Petersburg, 199034, Russian Federation

кандидат экономических наук, доцент

References

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Translation of references in Russian into English

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Published

2008-12-30

How to Cite

Кудрявцев, А. А. (2008). The Investment Portfolio Selection Model Based on Quantile Risk Measures. St Petersburg University Journal of Economic Studies, (4), 095–102. Retrieved from https://economicsjournal.spbu.ru/article/view/4150

Issue

No. 4 (2008)

Section

Finance, Credit, Insurance

License

Articles of the St Petersburg University Journal of Economic Studies are open access distributed under the terms of the License Agreement with Saint Petersburg State University, which permits to the authors unrestricted distribution and self-archiving free of charge.