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Модель Выбора Инвестиционного Портфеля На Основе Квантильных Мер Риска

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  • Кудрявцев Андрей Алексеевич

    (СПбГУ)

Abstract

The paper deals with the extension of classical Markowitz approach to portfolio selection. A new approach is needed as a result of intensive critique of that classical theory as well as modern requirements from supervision authorities. Those requirements have been generated with the Value-at-Risk methodology and Basle Accords (known as Basle I and Basle II). The solution of the problem seems to use conditional Value-at-Risk although there are some problems unsolved in the topics (mostly statistical ones).

Suggested Citation

  • Кудрявцев Андрей Алексеевич, 2008. "Модель Выбора Инвестиционного Портфеля На Основе Квантильных Мер Риска," Vestnik of the St. Petersburg University. Series 5. Economics Вестник Санкт-Петербургского университета. Серия 5. Экономика, CyberLeninka;Федеральное государственное бюджетное образовательное учреждение высшего образования «Санкт-Петербургский государственный университет», issue 4, pages 95-102.
    • Handle: RePEc:scn:003571:14983109
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