Financial Analytics: Science and Experience

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Financial Analytics: Science and Experience

11(53) - 2011 March

About efficiency of use entropic risk measures at securities portfolio forming

Vol. 4, Iss. 11, MARCH 2011

Available online: 15 March 2011

Subject Heading: Securities market

JEL Classification:

Bronshtein E.M. Sc.D. (mathematics, financial mathematics), professor of Ufa state aviation technical university
bro-efim@yandex.ru

Kondratyeva O.V. applicant of chair of the calculus mathematics and cybernetics, Ufa state aviation technical university
kondr_o@mail.ru

The efficiency of entropic risk measures application at formation of a securities portfolio has been investigated in this work. Value of a measure parameter at which the best effect is reached has been experimentally established.

Keywords: measure, risk, securities portfolio, entropic risk measure

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ISSN 2311-8768 (Online)
ISSN 2073-4484 (Print)

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