«Volatility - risk» paradox in portfolio applications

التفاصيل البيبلوغرافية
العنوان: «Volatility - risk» paradox in portfolio applications
المؤلفون: A. O. Nedosekin, Z. I. Abdoulaeva
المصدر: 2016 XIX IEEE International Conference on Soft Computing and Measurements (SCM).
بيانات النشر: IEEE, 2016.
سنة النشر: 2016
مصطلحات موضوعية: Actuarial science, Spectral risk measure, Replicating portfolio, Economics, Capital asset pricing model, Roy's safety-first criterion, Volatility risk, Portfolio optimization, Volatility (finance), Modern portfolio theory
الوصف: The report contains a comparison between “volatility” and “risk” entities. It's shown that volatility cannot be used as a criterion in portfolio optimization cases, but should be replaced by criterion “risk” or “chance”. Risk is estimated using both probabilistic and fuzzy logical models.
الوصول الحر: https://explore.openaire.eu/search/publication?articleId=doi_________::567885617b90e75a00c694bf374be2bbTest
https://doi.org/10.1109/scm.2016.7519843Test
رقم الانضمام: edsair.doi...........567885617b90e75a00c694bf374be2bb
قاعدة البيانات: OpenAIRE