Czasopismo
Tytuł artykułu
Autorzy
Warianty tytułu
Zastosowanie analizy wartości ekstremalnych w analizie portfelowej
Języki publikacji
Abstrakty
Portfolio analysis is one of the most important areas in modem finance. One the ; hand, the birth of portfolio theory was one of the very few milestones in the scientific history of finance. On the other hand, portfolio theory is the main background of risk analysis and management. There are at least several approaches proposed in portfolio theory. The classical approach is well-known Markowitz theory, generalized by James Tobin to include risk-free instruments. Of course, the non-classical approaches are very often applied as well. Among the most often used non-classical approaches it is worth to mention the "safety-first" approaches, were the main stress is put on the avoiding large losses in a portfolio. The good description of these approaches is given in.
In this paper we propose the other possible ways to introduce "safety-first" concept in portfolio analysis. These proposals are based on Extreme Value Theory, being relative new statistical tool. The conceptual considerations are preceded by a synthetic presentation of Extreme Value Theory. In addition, some illustrative examples are given. (fragment of text)
In this paper we propose the other possible ways to introduce "safety-first" concept in portfolio analysis. These proposals are based on Extreme Value Theory, being relative new statistical tool. The conceptual considerations are preceded by a synthetic presentation of Extreme Value Theory. In addition, some illustrative examples are given. (fragment of text)
W artykule podano kilka propozycji zastosowania teorii wartości ekstremalnych w analizie portfelowej. Rozpatrzono dwa przypadki: przypadek jednowymiarowy i przypadek wielowymiarowy. Artykuł rozpoczyna syntetyczna prezentacja teorii wartości ekstremalnych, a w dalszej części zaprezentowano zastosowania praktyczne ilustrowane przykładami z rynku finansowego. (abstrakt oryginalny)
Rocznik
Strony
130--138
Opis fizyczny
Twórcy
autor
- Wrocław University of Economics, Poland
Bibliografia
- Elton E.J., Gruber M.J., Brown S.J., Goetzmann W.N., Modern Portfolio Theory and Investment Analysis, Wiley, New York 2003.
- Embrechts P., Klüppelberg C., Mikosch T., Modelling Extremal Events for Insurance and Finance, Springer-Verlag, Berlin 1997.
- Galambos J., The Asymptotic Theory of Extreme Order Statistics, Kreiger Publishing, Melbourne 1978.
- Jajuga K., Papla D., Extreme Value Analysis and Copula, [w:] P. Cizek, W. Hardie, R. Weron (red.), Statistical Tools for Finance and Insurance, Springer, Berlin 2005, s. 45-64.
- Sklar A., Fonctions de repartition à n dimensions et leurs marges, Publications de l'Institut de Statistique de l'Université de Paris, 8, Paris 1959, s. 229-231.
Typ dokumentu
Bibliografia
Identyfikatory
Identyfikator YADDA
bwmeta1.element.ekon-element-000171559919