Possible concepts of risk measurement in investment portfolio made by the mathematical programming

Borovička, Adam

Possible concepts of risk measurement in investment portfolio made by the mathematical programming / Adam Borovička. -- 1 tabulka. -- Abstrakt: This article deals with a measurement of risk level of the investment portfolio that is made via the linear mathematical programming models. Several approaches are described - variance, semivariance, variation coefficient, beta coefficient and Value at Risk. The pros and cons of these concepts are specified regarding their usage in the process of a portfolio making by means of the mathematical programming approach. In order to eliminate the disadvantages of analyzed concepts, a new approach for risk measurement is proposed. It is called the average absolute negative deviation. This principle is described, its advantages are emphasized. The proposed concept is applied to a making portfolio of the open unit trusts. -- Dostupné též v elektronické podobě.
In: Hradecké ekonomické dny. -- Hradec Economic Days. -- Hradec Králové: University of Hradec Králové, 2016. -- 457 s.. -- ISSN 2464-6059. -- 978-80-7435-633-9. -- S. 68-75 (tištěný sborník), s. 74-81 (online zdroj).

riziko (ekonomie) * matematická optimalizace * finanční matematika * investiční riziko * ekonomicko-matematické modely * články ze sborníku