Security portfolio management based on combined entropic risk measures

被引：0
|
作者：
E. M. Bronshtein
O. V. Kondrat’eva
机构：
[1] Ufa State Aviation Technical University,
来源：
Journal of Computer and Systems Sciences International | 2013年 / 52卷
关键词：
Risk Measure; System Science International; Banking Supervision; Cumulative Yield; Entropic Risk;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
A combined entropic financial risk measure that is a convex combination of the entropic risk measure and the CVaR measure is considered. The effectiveness of the proposed measure in the formation of security portfolios is analyzed. Results of computational experiments are presented.
引用
收藏
页码：837 / 841
页数：4
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