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2019 | OriginalPaper | Buchkapitel

15. Application Quantile-Based Risk Measures in Sector Portfolio Analysis—Warsaw Stock Exchange Approach

verfasst von : Grażyna Trzpiot

Erschienen in: Effective Investments on Capital Markets

Verlag: Springer International Publishing

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Abstract

The measurement of financial risk has been one of the main goals of the investors as well as actuaries and insurance practitioners. Measuring the risk of a financial portfolio involves firstly estimating the loss distribution of the portfolio, next computing chosen risk measure. In the resent study, the robustness of risk measurement procedures and their sensitivity into point out for the dataset in present. The results show a gap between the subadditivity and robustness of risk measurement procedures. We apply into analyses alternative risk measurement procedures that possess the robustness property. The quantile-based risk measures have been applied in sector portfolio analysis for the dataset from Warsaw Stock Exchange.

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Vorheriges Kapitel Investment Strategies Determined by Present Value Given as Trapezoidal Fuzzy Numbers

Nächstes Kapitel Is the Three-Factor Better Than Single-Factor Capital Asset Pricing Model? Case of Polish Capital Market

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Titel: Application Quantile-Based Risk Measures in Sector Portfolio Analysis—Warsaw Stock Exchange Approach
verfasst von: Grażyna Trzpiot
Verlag: Springer International Publishing
Buch: Effective Investments on Capital Markets
Print ISBN: 978-3-030-21273-5

Electronic ISBN: 978-3-030-21274-2

Copyright-Jahr: 2019
DOI: https://doi.org/10.1007/978-3-030-21274-2_15