Application of Indexed-Entropic risk measures in decision support systems for security portfolio management

O. V. Kondrateva

Информационные технологии интеллектуальной поддержки принятия решений, Интеллектуальные технологии для обработки информации и управления 2015

O. V. Kondrateva

Изменена: 2020-06-06

Аннотация

This paper investigates the effectiveness of use of alternative risk measures via the dynamic formation of security portfolios. It is proposed to compare results of the applying of indexed-entropic risk measures for the structure optimization of security portfolio in different economic conditions and in different markets. Results of computational experiments were presented.

Ключевые слова

Indexed-Entropic risk measures; decision support systems; security portfolio management

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