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Possible concepts of risk measurement in investment portfolio made by the mathematical programming
Článek! Pro signaturu klikni na odkaz In Main entry-name Borovička, Adam (author) Title statement Possible concepts of risk measurement in investment portfolio made by the mathematical programming / Adam Borovička Phys.des. 1 tabulka Dostupné též v elektronické podobě In Hradecké ekonomické dny. Hradec Economic Days. - S. 68-75 (tištěný sborník), s. 74-81 (online zdroj) Subj. Headings riziko (ekonomie) investiční riziko ekonomicko-matematické modely matematická optimalizace finanční matematika Form, Genre články ze sborníku Annotation 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. Conspect 519.1/.8 - Kombinatorika. Teorie grafů. Matematická statistika. Operační výzkum. Matematické modelování Country Česko Language English URL http://fim2.uhk.cz/hed/data/proceedings_2016_1.pdf Database Articles References - Source document 
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