Dresden 2006 – scientific programme

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AKSOE: Physik sozio-ökonomischer Systeme

AKSOE 10: Poster Session (posters are expected to be displayed the full day 8:30-18:00)

AKSOE 10.13: Poster

Wednesday, March 29, 2006, 16:00–18:00, P2

Portfolio optimization with respect to different risk types. — •Urszula Skornik-Pokarowska¹ and Arkadiusz Orlowski^1,2 — ¹Katedra Ekonometrii i Informatyki SGGW, Nowoursynowska 159, 02-787 Warszawa — ²Instytut Fizyki PAN, al. Lotników 32/46, 02-668 Warszawa

There are many risk types, such as inflation risk, credit rates risk, ect. Some of them can be estimated based on macroeconomic indicators. We show an example of portfolio optimization done for Warsaw Stock Exchange with respect to different risk types.