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Measuring financial risks under uncertainty

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  • Grażyna Trzpiot

Abstract

Zarządzanie losowymi przyszłymi stopami zwrotu jest podstawowym zadaniem finansów w otoczeniu, które ma charakter stochastyczny. Ważne są zadania bazujące na optymalizacji VaR, które są podejściem probabilistycznym do zagadnienia. Rozwój aksjomatycznej teorii związanej z koherent- nymi miarami ryzyka wskazał na odporny odpowiednik VaR, nazywany CVaR. W pracy omawiamy związek tej miary z dominacjami stochastycznymi.

Suggested Citation

  • Grażyna Trzpiot, 2006. "Measuring financial risks under uncertainty," Operations Research and Decisions, Wroclaw University of Science and Technology, Faculty of Management, vol. 16(2), pages 81-88.
    • Handle: RePEc:wut:journl:v:2:y:2006:p:81-88
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    References listed on IDEAS

    as
    1. Haim Levy, 1992. "Stochastic Dominance and Expected Utility: Survey and Analysis," Management Science, INFORMS, vol. 38(4), pages 555-593, April.
    2. Philippe Artzner & Freddy Delbaen & Jean‐Marc Eber & David Heath, 1999. "Coherent Measures of Risk," Mathematical Finance, Wiley Blackwell, vol. 9(3), pages 203-228, July.
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