Abstracting and IndexingРИНЦReferativny Zhurnal VINITI RAS Worldcat Google Scholar Online availableEastvieweLIBRARY.RU Biblioclub |
Model of structure formation of investment portfolio by using the principle of insurance risk
Available online: 19 January 2013 Subject Heading: ECONOMIC-MATHEMATICAL MODELING JEL Classification:
Upgraded model of the structure of the investment portfolio by using the principle of hedging assets in conditions of high volatility in the market, based on the model developed by Constant Proportion Portfolio Insurance are presented. Portfolio Insurance model is presented. For formation of risk part of the portfolio it is offered to use "model risk - expected profitability". The results of experiments with data of the Russian stock market are given. Keywords: models of portfolio investment, CPPI, AVaR, Russian stock market |
ISSN 2311-8725 (Online)
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