Strategy of an investment portfolio construction on the basis of economic value at risk (EVaR.)

  • Л. П. Яновский Voronezh State Agrarian University
  • О. С. Кульнева Lord Finans LTd. (Voronezh)
Keywords: investment strategy, an investment portfolio, coherent measures of risk, VAR, EVaR

Abstract

Characteristics, merits and demerits of various measures of risk are analyzed in the work. Strategy of an investment portfolio construction on the basis of EvaR is offered and tested.

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Published
2015-04-06
How to Cite
Яновский, Л. П., & Кульнева, О. С. (2015). Strategy of an investment portfolio construction on the basis of economic value at risk (EVaR.). Modern Economics: Problems and Solutions, 2, 163-174. Retrieved from https://journals.vsu.ru/meps/article/view/4206
Issue
Vol 2 (2010): february
Section
Статьи