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Author
Trzpiot Grażyna (University of Economics in Katowice, Poland)
Title
Application of Coherent Distortion Risk Measures
Source
Statistics in Transition, 2014, vol. 15, nr 2, s. 283-298, bibliogr. 22 poz.
Keyword
Pomiar ryzyka, Metody pomiarowe, Statystyka gospodarcza
Risk measures, Measuring methods, Economic statistics
Note
Materiały z konferencji Multivariate Statistical Analysis 2013, Łódź.
summ.
Abstract
This paper concentrates on solving the portfolio selection problem. It starts with an extension of the well-known optimization framework for Conditional Value-at-Risk (CVaR)-based portfolio selection problems [1, 2] to optimization over a more general class of risk measure - known as the class of Coherent Distortion Risk Measure (CDRM). The CDRM class of risk measures is the intersection of Coherent Risk Measure (CRM) and Distortion Risk Measure (DRM). It concludes with showing that many of the well-known risk measures are of special cases of the CDRM class what may facilitate to deal with the portfolio optimization problem. (original abstract)
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The Library of Warsaw School of Economics
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Bibliography
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ISSN
1234-7655
Language
eng
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