Parts | Days | Selection | Search | Downloads | Help
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
Wednesday, March 29, 2006, 16:00–18:00, P2
Examples of risk measures and their application to portfolio optimization — •Urszula Skornik-Pokarowska1 and Arkadiusz Orlowski1,2 — 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.