Информационные технологии интеллектуальной поддержки принятия решений, Интеллектуальные технологии для обработки информации и управления 2014

Размер шрифта: 
Comparing the value of potential losses of investment portfolio using Haezendonck-Goovaerts risk measures and Value at Risk (VaR) risk measure
D. O. Miriasova

Изменена: 2020-06-02


The ultimate goal of risk management is maximizing the value of potential income. Therefore, it assesses with pairs parameters 'risk-return'. This approach explains the use and application of risk assessment tools as a possible risk. In this study, we compared the results of calculations of risk measures VaR, CVaR and Haezendonck-Goovaerts risk measure for identical portfolios and conclusions obtained after these calculations.

Ключевые слова

potential losses; risk measures; Value at Risk


1. Bellini, F. and Gianin, E. (2008b). Optimal portfolios with Haezendonck risk measures// Statistics & Decisions, 26:89–108.

2.Measures of risk-Hazendonga Govartsa and Orlich and their computation / E.M. Bronshtein, D. O. Miryasova // Risk management. - 2012.

3. Measure the risk of Orlicz and its relationship with other measures and principles for calculating premiums / Miryasova D.O., Mavlyutovskie chteniya: National Youth Scientific Conference: S. Volume 3 / Ufimsk. state. aviation. tehn. Univ. - Ufa: USATU, 2012.

4.Uryasev S. Conditional Value-at-Risk: Optimization Algorithms and Applications// Financial Eng. News. 2000.