Distortion risk measures in portfolio optimization

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11320%2F21%3A10507993" target="_blank" >RIV/00216208:11320/21:10507993 - isvavai.cz</a>
Result on the web
<a href="https://mme2021.v2.czu.cz/dl/99363?lang=en" target="_blank" >https://mme2021.v2.czu.cz/dl/99363?lang=en</a>
DOI - Digital Object Identifier
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Result language
angličtina
Original language name
Distortion risk measures in portfolio optimization
Original language description
The paper deals with mean-risk problems where the risk is modeled by a distortion measure. This measure could be seen as a generalization of Conditional Value-at-Risk or Expected shortfall. If the associated distortion function is concave the measure is coherent. We analyze several distortion measures for different choices of a concave distortion function. First, assuming a discrete distribution of returns, we identify the efficient frontier. Then we compute the portfolio maximizing reward-risk ratio. Finally, we compare the results for various distortion measures among each other.
Czech name
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Czech description
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Project
<a href="/en/project/GX19-28231X" target="_blank" >GX19-28231X: DyMoDiF - Dynamic Models for the Digital Finance</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Publication year
2021
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
39TH INTERNATIONAL CONFERENCE ON MATHEMATICAL METHODS IN ECONOMICS (MME 2021)
ISBN
978-80-213-3126-6
ISSN
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e-ISSN
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Number of pages
6
Pages from-to
255-260
Publisher name
Czech Univ Life Sciences Prague
Place of publication
Prague 6
Event location
Prague
Event date
Sep 8, 2021
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
000936369700042

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