D. S. Hooda, Milan Stehlik,
"Risk measurement models in finance management"
, in IFAS, in IFAS Research Paper Series, Serie 2009-47, Nummer 47, 11-2009
Risk measurement models in finance management
Sprache des Titels:
In many practical investment situations the amount of available memory stock data is extremely huge. Thus many investors are attracted to base their decisions on the information ”currently available in their minds” (see Nocetti (2005,2006)). The main aim of this letter is to provide some dimensionality or complexity reduction analytic tool which is based on the information theory
concepts. Particularly, we discuss a various risk measurement models possibly of application in the risk management. First we recall the model of Markowitz who gave the concept of mean variance efficient frontier to find all efficient portfolios that maximize the expected returns and minimize the risk. We also recall Markovian risk measures. Some measures of portfolio analysis based on entropy mean-variance frontier and maximum entropy model in risk sharing
are proposed and studied. Risk aversion index and Pareto-optimal sharing of risk sharing are explained. In view of these facts it is very interesting to study how the investor should make investments so that his total expected return is maximized and risk of loosing his capital is minimized. We also link these measures with its probabilistic rationale.