Browsing by Subject "value-at-risk"

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Access status: Open Access ,
A reference point approach to bi-objective dynamic portfolio optimization
(Wydawnictwa AGH, 2009) Sawik, Bartosz
The portfolio selection problem presented in this paper is formulated as a bi-objective mixed integer program. The portfolio selection problem considered is based on a dynamic model of investment, in which the investor buys and sells securities in successive investment periods. The problem objective is to dynamically allocate the wealth on different securities to optimize by reference point method the portfolio expected return and the probability that the return is not less than a required level. In computational experiments the dataset of daily quotations from the Warsaw Stock Exchange were used.
Access status: Open Access ,
A weighted-sum mixed integer program for bi-objective dynamic portfolio optimization
(Wydawnictwa AGH, 2009) Sawik, Bartosz
The portfolio selection problem presented in this paper is formulated as a bi-objective mixed integer program. The portfolio selection problem considered is based on a dynamic model of investment, in which the investor buys and sells securities in successive investment periods. The problem objective is to dynamically allocate the wealth on different securities to optimize the weighted difference of the portfolio expected return and the probability that the return is not less than a required level. In computational experiments the dataset of daily quotations from the Warsaw Stock Exchange were used.
Access status: Restricted ,
Różne miary ryzyka - badania porównawcze
(Data obrony: 2018-11-21) Obrzut, Artur
Wydział Matematyki Stosowanej
Access status: Open Access ,
Testowanie wsteczne modeli wartości narażonej na stratę
(2007) Jędrusik, Stanisław; Paliński, Andrzej; Chmiel, Wojciech; Kadłuczka, Piotr
Backtesting is an inherent element of every Risk Management System based on VaR methodology. The term 'backtesting' is used to describe various statistical test designed for evaluation of VaR models quality. The results of these tests are one of the most frequently used selection criterion for VaR models. In this paper we present the results of applying Kupiec and Christoffersen tests to portfolios from Polish financial market. In the first section we present the idea of VaR. Next is devoted to the mathematical foundations of Kupiec and Christoffersen tests. The results of applying these tests to two VaR models (Random Walk and GARCH) are presented in the subsection 3.
Access status: Open Access ,
Wykorzystanie kopul do konstrukcji portfeli inwestycyjnych
(2007) Gurgul, Henryk; Syrek, Robert
W artykule porównano klasyczną metodę Markowitza konstrukcji portfela z metodą opartą o kopule i teorię wartości ekstremalnych. Badania wykazały, że druga z metod prowadzi do bardziej realistycznych wyników. Ustalono, że począwszy od pewnego poziomu oczekiwanej dodatniej stopy zwrotu portfela, ryzyka rozumiane jako wartość narażona na ryzyko (VaR) bądź ES (expected shortfall - oczekiwana wartość straty po przekroczeniu VaR) są mniejsze. Oznacza to, że konstrukcja portfela metodą kopul w połączeniu z teorią wartości ekstremalnych pozwala budować efektywniejsze portfele niż tradycyjna metoda Markowitza.