Measuring portfolio risks
نویسندگان
چکیده
منابع مشابه
Evaluating software project portfolio risks
Like any other business, software development organizations try to maximize their profits and minimize their risks. Such risks represent the uncertain events and conditions that may prevent enterprises from reaching their goals. This possibility has turned risk management into a major concern, not only for project managers but also for executive officers involved with strategic objectives. In t...
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Managers and stakeholders concerned about all sorts of entities often face a complex mixture of threats originating from multiple sources. Traditional management approaches that deal with multiple decisions, such as project portfolio management and risk assessment, are focused on single sources of risk or integrate risks using simplified assumptions (e.g., simple addition). Current challenges –...
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In this paper we survey some recent developments on risk measures for portfolio vectors and on the allocation of risk problem. The main purpose to study risk measures for portfolio vectors X = (X1, . . . , Xd) is to measure not only the risk of the marginals separately but to measure the joint risk of X caused by the variation of the components and their possible dependence. Thus an important p...
متن کاملOn optimal portfolio diversification with respect to extreme risks
Extreme losses of portfolios with heavy-tailed components are studied in the framework of multivariate regular variation. Asymptotic distributions of extreme portfolio losses are characterized by a functional γξ = γξ(Ψ, α) of the tail index α, the spectral measure Ψ, and the vector ξ of portfolio weights. Existence, uniqueness, and location of the optimal portfolio are analysed and applied to t...
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We analyze a planning model for a firm or public organization that needs to cover uncertain demand for a given item by procuring supplies from multiple sources. Each source faces a random yield factor with a general probability distribution. The model considers a single demand season. All supplies need to be ordered before the start of the season. The planning problem amounts to selecting which...
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ژورنال
عنوان ژورنال: Ekonomija: teorija i praksa
سال: 2015
ISSN: 2217-5458
DOI: 10.5937/etp1503001t