Dresden 2006 – wissenschaftliches Programm

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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 10.14: Poster

Mittwoch, 29. März 2006, 16:00–18:00, P2

Examples of risk measures and their application to portfolio optimization — •Urszula Skornik-Pokarowska¹ and Arkadiusz Orlowski^1,2 — ¹Katedra Ekonometrii i Informatyki SGGW, Nowoursynowska 159, 02-787 Warszawa — ²Instytut Fizyki PAN, Al. Lotnikow 32, 02-668 Warszawa

In the paper we present and compare some examples of risk measures such as VaR, CVaR, Hurst exponent and some traditional measures based of coefficient of variation or standard deviation. Experimental analysis made for Warsaw Stock Exchange shows how useful the measures can be for investment portfolio optimization.