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Published in:
2012 | OriginalPaper | Chapter
14. Portfolio Risk Management Technology
Author : E. D. Solozhentsev
Published in: Risk Management Technologies
Publisher: Springer Netherlands
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Abstract
We describe Risk management technologies for managing the investment portfolio risk: task setting; the optimum portfolio choice; logic and probabilistic (LP) models of the portfolio risk; LP-analysis of the portfolio risk and efficiency; portfolio risk management.
The construction and research of the LP-investment portfolio risk model belonging to the LP-efficiency class, was the second and, perhaps, the most important problem, solved for economics, with all the basic components of Risks management technologies. The solution of this problem led to the appearance of the class of LP-forecasting tasks gave opportunities to solve various applied tasks in economics with regard to risk and efficiency analysis and management.
The choice and analysis of an investment portfolio is one of the examples of the LP-efficiency class. Investments in the investment portfolio form the basis of the market economy of developed countries. The theory of the investment portfolio formation is the most widely spread investments theory. This theory makes it possible to optimize, simulate and control investments risk. It solves the tasks of forecasting and optimizing the returns and risk of the assets portfolio.