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    Wyświetlanie 1-4 z 4
    Tytuł:
    The Gluevar Risk Measure and Investor’s Attitudes to Risk–An Application to the Non-Ferrous Metals Market
    Autorzy:
    Krężołek, Dominik
    Powiązania:
    https://bibliotekanauki.pl/articles/465731.pdf
    Data publikacji:
    2016
    Wydawca:
    Główny Urząd Statystyczny
    Tematy:
    risk
    metal market
    subadditivity
    VaR
    GlueVaR
    Opis:
    Investing in the economic world, characterized by a high level of uncertainty and volatility, entails a higher level of risk related to investment. One of the most commonly used risk measure is Value-at-Risk. However, despite the ease of calculation and interpretation, this measure suffers from a significant drawback – it is not subadditive. This property is the key issue in terms of portfolio diversification. Another risk measure, which meets this assumption, has been proposed – Conditional Value-at-Risk, defined as a conditional loss beyond Value-at-Risk. However, the choice of a risk measure is an individual decision of an investor and it is directly related to his attitudes to risk. In this paper the new risk measure is proposed – the GlueVaR risk measure, which can be defined as a linear combination of VaR and GlueVaR. It allows for calculating the level of investment loss depending on investment’s attitudes to risk. Moreover, GlueVaR meets the subadditivity property, therefore it may be used in portfolio risk assessment. The application of the GlueVaR risk measure is presented for the non-ferrous metals market.
    Źródło:
    Statistics in Transition new series; 2016, 17, 2; 305-316
    1234-7655
    Pojawia się w:
    Statistics in Transition new series
    Dostawca treści:
    Biblioteka Nauki
    Artykuł
    Tytuł:
    The use of Value-at-Risk methodology in the assessment of investor’s risk attitudes on the precious metals market
    Zastosowanie metodologii Value-at-Risk w ocenie postaw inwestora wobec ryzyka na rynku metali
    Autorzy:
    Krężołek, Dominik
    Powiązania:
    https://bibliotekanauki.pl/articles/424801.pdf
    Data publikacji:
    2017
    Wydawca:
    Wydawnictwo Uniwersytetu Ekonomicznego we Wrocławiu
    Tematy:
    risk
    precious metals market
    subadditivity
    VaR
    GlueVaR
    Opis:
    The decision making process is directly associated with risk, no matter what area of interest it is. In the case of financial investments we can define a special type of risk called investment risk. Taking into account the financial time series of assets’ characteristics (prices, returns), small deviations of future values comparing to their expected level are not a major threat to the investor’s portfolio. In contrast, if the changes in prices/returns are significant, unpredictable and result from unexpected and adverse events, one should pay attention to the proper risk measurement. The topic of this article refers to the new family of risk measures related to investments in assets on the precious metals market. These risk measures are called the GlueVaR risk measures. The name itself suggests that the GlueVaR is related to the commonly used measure of risk – VaR. As will be presented in the article, the family of the GlueVaR risk measures may be expressed as a linear combination of VaR and conditional VaR for fixed tolerance levels. Moreover, the new risk measure allows for assessing risk more personally, taking into account the investor’s attitudes towards risk. If portfolio investments are of interest, the GlueVaR risk measures meet the assumption of subadditivity. This property of risk measure is required, as it is strongly related to the diver-sification problem.
    Źródło:
    Econometrics. Ekonometria. Advances in Applied Data Analytics; 2017, 3 (57); 101-112
    1507-3866
    Pojawia się w:
    Econometrics. Ekonometria. Advances in Applied Data Analytics
    Dostawca treści:
    Biblioteka Nauki
    Artykuł
    Tytuł:
    Format dependent probabilities: An eye-tracking analysis of additivity neglect
    Autorzy:
    Riege, Anine H.
    Sulutvedt, Unni
    Teigen, Karl Halvor
    Powiązania:
    https://bibliotekanauki.pl/articles/430225.pdf
    Data publikacji:
    2014
    Wydawca:
    Polska Akademia Nauk. Czytelnia Czasopism PAN
    Tematy:
    Probability judgments
    Additivity neglect
    Response format
    Subadditivity
    Eye-tracking
    Opis:
    When people are asked to estimate the probabilities of uncertain events, they often neglect the additivity principle, which requires that the probabilities assigned to an exhaustive set of outcomes should add up to 100%. Previous studies indicate that additivity neglect is dependent on response format, self-generated probability estimates being more coherent than estimates on rating scales. The present study made use of eye-tracking methodology, recording the movement, frequency and duration of fixations during the solution of ten additivity problems and two control tasks. Participants produced more non-additive estimates in the Scale format than in the Self-generated format. Self-generated estimates also led to longer decision time and a higher number of repeated inspections, suggesting a deliberate comparison process. In contrast, the Scale format seemed to encourage a case-based approach where each outcome is evaluated in isolation.
    Źródło:
    Polish Psychological Bulletin; 2014, 45, 1; 12-20
    0079-2993
    Pojawia się w:
    Polish Psychological Bulletin
    Dostawca treści:
    Biblioteka Nauki
    Artykuł
    Tytuł:
    Conjugate functions, lp-norm like functionals, the generalized Hölder inequality, Minkowski inequality and subhomogeneity
    Autorzy:
    Matkowski, J.
    Powiązania:
    https://bibliotekanauki.pl/articles/255030.pdf
    Data publikacji:
    2014
    Wydawca:
    Akademia Górniczo-Hutnicza im. Stanisława Staszica w Krakowie. Wydawnictwo AGH
    Tematy:
    Lp-norm like functional
    homogeneity
    subhomogeneity
    subadditivity
    Minkowski inequality
    Hölder inequality
    converses
    generalization of the Minkowski and Hölder inequalities
    conjugate functions
    complementary functions
    Young conjugate functions
    convex function
    geometrically convex function
    Wright convex function
    functional equation
    Opis:
    For h : (0,∞) → R, the function h* (t) := th( 1/t ) is called (*)-conjugate to h. This conjugacy is related to the Hölder and Minkowski inequalities. Several properties of (*)-conjugacy are proved. If φ and φ* are bijections of (0,∞) then [formula]. Under some natural rate of growth conditions at 0 and ∞, if φ is increasing, convex, geometrically convex, then [formula] has the same properties. We show that the Young conjugate functions do not have this property. For a measure space (Ω,Σ,μ) denote by S = (Ω,Σ,μ) the space of all μ-integrable simple functions x : Ω → R, Given a bijection φ : (0,∞) → (0,∞) define [formula] by [formula] where Ω(x) is the support of x. Applying some properties of the (*) operation, we prove that if ƒ xy ≤ Pφ(x)Pψ (y) where [formula] and [formula] are conjugate, then φ and ψ are conjugate power functions. The existence of nonpower bijections φ and ψ with conjugate inverse functions [formula] such that Pφ and Pψ are subadditive and subhomogeneous is considered.
    Źródło:
    Opuscula Mathematica; 2014, 34, 3; 523-560
    1232-9274
    2300-6919
    Pojawia się w:
    Opuscula Mathematica
    Dostawca treści:
    Biblioteka Nauki
    Artykuł
      Wyświetlanie 1-4 z 4

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