Financial Analytics: Science and Experience

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Financial Analytics: Science and Experience

48(90) - 2011 December

Models of portfolio investment with application of asymmetric measures of risk and genetic algorithms

Vol. 4, Iss. 48, DECEMBER 2011

Available online: 16 December 2011

Subject Heading: MATHEMATICAL METHODS OF THE ANALYSIS IN ECONOMY

JEL Classification:

Isavnin A.G. Doctor of physical and mathematical sciences, professor of department “Mathematical methods in Economy”, Kazan Federal University (branch), Naberegnie Chelny
isavnin@mail.ru

Galiev D.R. Student of department “Mathematical methods in Economy”, Kazan Federal University (branch), Naberegnie Chelny
damir.galiev@mail.ru

The article is devoted the application of alternative measures of risk at construction of models portfolio investments. Asymmetric, coherent and complex measures of risk are considered. The comparative analysis of efficiency of various metrics is carried out. For the decision of optimizing problems genetic algorithms have been used. Experiments were spent with the data on actives which bargain in the Russian stock market.

Keywords: portfolio investment, an asymmetric measure, risk, algorithm

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

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