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Autor
Krężołek Dominik (University of Economics in Katowice, Poland)
Tytuł
The GlueVaR Risk Measure and Investor's Attitudes to Risk : an Application to the Non-Ferrous Metals Market
Źródło
Statistics in Transition, 2016, vol. 17, nr 2, s. 305-316, rys., tab., bibliogr. s. 316
Słowa kluczowe
Ryzyko, Miernik ryzyka (VaR), Przemysł metalowy
Risk, VaR method, Metal industry
Uwagi
summ.
Materiały z konferencji Multivariate Statistical Analysis 2015, Łódź.
Abstrakt
Investing in the economic world, characterized by a high level of uncertainty and volatility, entails a higher level of risk related to investment. One of the most commonly used risk measure is Value-at-Risk. However, despite the ease of calculation and interpretation, this measure suffers from a significant drawback -it is not subadditive. This property is the key issue in terms of portfolio diversification. Another risk measure, which meets this assumption, has been proposed - Conditional Value-at-Risk, defined as a conditional loss beyond Value-at-Risk. However, the choice of a risk measure is an individual decision of an investor and it is directly related to his attitudes to risk. In this paper the new risk measure is proposed - the GlueVaR risk measure, which can be defined as a linear combination of VaR and GlueVaR. It allows for calculating the level of investment loss depending on investment's attitudes to risk. Moreover, GlueVaR meets the subadditivity property, therefore it may be used in portfolio risk assessment. The application of the GlueVaR risk measure is presented for the non-ferrous metals market. (original abstract)
Dostępne w
Biblioteka Główna Uniwersytetu Ekonomicznego w Krakowie
Biblioteka SGH im. Profesora Andrzeja Grodka
Biblioteka Główna Uniwersytetu Ekonomicznego w Katowicach
Biblioteka Główna Uniwersytetu Ekonomicznego we Wrocławiu
Pełny tekst
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Bibliografia
Pokaż
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  8. MCNEIL, A., FREY, R., EMBRECHTS, P., (2005). Quantitative Risk Management: Concepts, Techniques and Tools, New York: Princeton Series in Finance, Princeton University Press.
  9. ROCKAFELLAR, R. T., URYASEV, S., (2002). Optimization of Conditional Value-at-Risk, Journal of Risk, No. 2, pp. 21-41.
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Cytowane przez
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ISSN
1234-7655
Język
eng
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