Code: 02937025

Formirovanie portfelya na osnove mery riska Value-At-Risk

Name: Formirovanie portfelya na osnove mery riska Value-At-Risk
Brand: LAP Lambert Academic Publishing
SKU: 02937025
Price: 66.00 EUR
Availability: InStock

by Elena Kolyasnikova, Diana Gelemyanova

Language: Russian
Binding: Paperback
Number of pages: 136
Publisher: LAP Lambert Academic Publishing, 2016
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Book synopsis

V rabote rassmotreny osnovnye ponyatiya teorii riskov, proanalizirovany sushhestvujushhie metody i podhody k ocenke riska portfelya finansovyh vlozhenij na osnove metodologii Value-at-Risk. Razrabotan algoritm optimizacii portfelya s uchetom treh mer riska: stoimosti pod riskom Value-at-Risk, standartnogo otkloneniya i poluotkloneniya. Osushhestvlena formalizaciya matematicheskih modelej soglasno algoritmu. Realizovan vychislitel'nyj jexperiment formirovaniya optimal'nogo portfelya. Predstavlen vychislitel'nyj jexperiment formirovaniya optimal'nogo portfelya na osnove prognozirovaniya uslovnoj volatil'nosti metodom jexponencial'nogo sglazhivaniya i s ispol'zovaniem GARCH-modelej. Issledovanie provodilos' na osnove statisticheskogo i portfel'nogo analiza. Obrabotka statisticheskoj informacii osushhestvlyalas' v programmah MS Excel, Statistica10 i Eviews 7. Rabota adresovana shirokomu krugu jekonomistov, rabotnikam bankov, analitikam, investoram, rabotajushhim na finansovyh rynkah i zhelajushhim sformirovat' optimal'nyj portfel' iz finansovyh instrumentov.