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2014 | 15 | nr 2 | 283--298
Tytuł artykułu

Application of Coherent Distortion Risk Measures

Treść / Zawartość
Warianty tytułu
Języki publikacji
EN
Abstrakty
EN
This paper concentrates on solving the portfolio selection problem. It starts with an extension of the well-known optimization framework for Conditional Value-at-Risk (CVaR)-based portfolio selection problems [1, 2] to optimization over a more general class of risk measure - known as the class of Coherent Distortion Risk Measure (CDRM). The CDRM class of risk measures is the intersection of Coherent Risk Measure (CRM) and Distortion Risk Measure (DRM). It concludes with showing that many of the well-known risk measures are of special cases of the CDRM class what may facilitate to deal with the portfolio optimization problem. (original abstract)
Rocznik
Tom
15
Numer
Strony
283--298
Opis fizyczny
Twórcy
  • University of Economics in Katowice, Poland
Bibliografia
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  • ORTOBELLI, S., RACHEV, S., SHALIT, H., FABOZZI, F., (2006). Risk probability function- analysis and probability metrics applied to portfolio theory, http://www.statistik.unikarlsruhe .de.
  • ROCKAFELLAR, R. T., URYASEV, S., (2002). Conditional value-at-risk for general loss distributions. Journal of Banking & Finance, 26(7):1443-1471.
  • ROCKAFELLAR, R. T., URYASEV, S., (2000). Optimization of conditional value-at-risk. Journal of risk, 2:21-42.
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  • ROY, A. D., (1952). Safety first and the holding of assets. Econometrica: Journal of the Econometric Society, pages 431-449.
  • TRZPIOT, G., (2005). Partial Moments and Negative Moments in Ordering Asymmetric Distribution, in: Daniel Baier and Klaus- Dieter Wernecke (eds.): Innovations in Classification, Data Science and Information Systems, Proc. 27th Annual GFKL Conference, University of Cottbus, March 11-14 2003. Springer-Verlag, Heidelberg-Berlin, 181-188.
  • TRZPIOT, G., (2010). Pesymistyczna optymalizacja portfelowa [Pessimistic portfolio optimization], In: Modelling of preferences and risk '09, Scientific Papers, University of Economics in Katowice, 121-128
  • TRZPIOT, G., (2012). Własności transformujących miar ryzyka [Properties of transforming risk measures], Economic Studies of the University of Economics in Katowice - Faculty Scientific Papers No. 91, Katowice, 21-36
  • WANG, S. S., (2000). A class of distortion operators for pricing financial and insurance risks. The Journal of Risk and Insurance, 67(1): 15-36.
  • WIRCH, J., HARDY, M. R., (2001). Distortion risk measures: coherence and stochastic dominance. Working paper.
Typ dokumentu
Bibliografia
Identyfikatory
Identyfikator YADDA
bwmeta1.element.ekon-element-000171322477

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