- Tytuł:
-
Wielowymiarowa warunkowa wartość zagrożona jako miara ryzyka
The Multivariate Conditional Value-At-Risk As a Measure of Risk - Autorzy:
- Krzemienowski, Adam
- Powiązania:
- https://bibliotekanauki.pl/articles/591326.pdf
- Data publikacji:
- 2013
- Wydawca:
- Uniwersytet Ekonomiczny w Katowicach
- Tematy:
-
Analiza wartości zagrożonej
Pomiar ryzyka
Wielowymiarowa analiza ryzyka
Zmienne losowe
Multi-dimensional risk analysis
Random variable
Risk measures
Value at Risk Analysis - Opis:
- The Multivariate Conditional Value-at-Risk (MCVaR) is a scalar risk measure for multivariate risks modeled by multivariate random variables. It is assumed that the univariate risk components are perfect substitutes, i.e., they are expressed in the same units. MCVaR is a quantile risk measure that allows one to emphasize the consequences of more pessimistic scenarios. By changing the level of the quantile, the measure permits to parameterize prudent attitudes toward risk ranging from extreme risk aversion to risk neutrality. In terms of definition, MCVaR is slightly different from the popular and well-researched Conditional Value-at-Risk (CVaR). Nevertheless, this small difference allows one to efficiently solve MCVaR portfolio optimization problems based on the full information carried by a multivariate random variable using column generation technique, which is not possible in the case of CVaR.
- Źródło:
-
Studia Ekonomiczne; 2013, 154; 53-60
2083-8611 - Pojawia się w:
- Studia Ekonomiczne
- Dostawca treści:
- Biblioteka Nauki
Artykuł