English, Article edition: DESIRABLE PROPERTIES OF AN IDEAL RISK MEASURE IN PORTFOLIO THEORY SVETLOZAR RACHEV; SERGIO ORTOBELLI; STOYAN STOYANOV; ...

User activity

Share to:
 
Bookmark: http://trove.nla.gov.au/version/83259
Physical Description
  • article
Language
  • English

Edition details

Title
  • DESIRABLE PROPERTIES OF AN IDEAL RISK MEASURE IN PORTFOLIO THEORY
Author
  • SVETLOZAR RACHEV
  • SERGIO ORTOBELLI
  • STOYAN STOYANOV
  • FRANK J. FABOZZI
  • ALMIRA BIGLOVA
Physical Description
  • article
Notes
  • This paper examines the properties that a risk measure should satisfy in order to characterize an investor's preferences. In particular, we propose some intuitive and realistic examples that describe several desirable features of an ideal risk measure. This analysis is the first step in understanding how to classify an investor's risk. Risk is an asymmetric, relative, heteroskedastic, multidimensional concept that has to take into account asymptotic behavior of returns, inter-temporal dependence, risk-time aggregation, and the impact of several economic phenomena that could influence an investor's preferences. In order to consider the financial impact of the several aspects of risk, we propose and analyze the relationship between distributional modeling and risk measures. Similar to the notion of ideal probability metric to a given approximation problem, we are in the search for an ideal risk measure or ideal performance ratio for a portfolio selection problem. We then emphasize the parallels between risk measures and probability metrics, underlying the computational advantage and disadvantage of different approaches.
  • Risk aversion, portfolio choice, investment risk, reward measure, diversification
  • RePEc:wsi:ijtafx:v:11:y:2008:i:01:p:19-54
Language
  • English
Contributed by
OAIster

Get this edition

  • Set up My libraries

    How do I set up "My libraries"?

    In order to set up a list of libraries that you have access to, you must first login or sign up. Then set up a personal list of libraries from your profile page by clicking on your user name at the top right of any screen.

  • All (1)
  • Unknown (1)
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.

User activity


e.g. test cricket, Perth (WA), "Parkes, Henry"

Separate different tags with a comma. To include a comma in your tag, surround the tag with double quotes.

Be the first to add a tag for this edition

Be the first to add this to a list

Comments and reviews

What are comments? Add a comment

No user comments or reviews for this version

Add a comment