RISK ASSESSMENT OF INVESTMENT PORTFOLIO

Authors

  • V. I. Dubrovin
  • V. M. Liovkin

DOI:

https://doi.org/10.15588/1607-3274-2010-1-10

Keywords:

risk assessment, investment portfolio, Markowitz, Sharpe model, Value-at-Risk methodology, fuzzy approach

Abstract

Investment portfolio optimization approaches (proposed in the works by Markowitz, Sharpe and Value-at-Risk methodology, fuzzy approach based on possibility theory) were analyzed. Risk assessment tools (based on standard, semiquadratic and median semi-quadratic deviation, critical values of profitability), used in these methods, were considered in details and their main shortcomings and advantages were detected. Advices for investment portfolio optimization methods choice (and for risk assessment accordingly) were given under special conditions.

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Published

2010-05-15

How to Cite

Dubrovin, V. I., & Liovkin, V. M. (2010). RISK ASSESSMENT OF INVESTMENT PORTFOLIO. Radio Electronics, Computer Science, Control, (1). https://doi.org/10.15588/1607-3274-2010-1-10

Issue

No. 1 (2010): Radio Electronics, Computer Science, Control

Section

Mathematical and computer modelling

License

Copyright (c) 2014 V. I. Dubrovin, V. M. Liovkin

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