Тип публикации: доклад, тезисы доклада, статья из сборника материалов конференций
Конференция: ПЕРСПЕКТИВЫ РАЗВИТИЯ ЭКОНОМИКИ И МЕНЕДЖМЕНТА; Челябинск; Челябинск
Год издания: 2014
Ключевые слова: assets selection, diversification, reward-to-variability ratio, risk measure, Value-at-, 'beta' coefficient
Аннотация: Securities evaluation criteria are presented to select the assets for portfolio diversification. Modifications of the Sharpe coefficient are proposed, based on the new introduced risk measures. The proposed selection criteria are evaluated according to the efficiency of a composed portfolio, measured by the Sharpe coefficient. CompПоказать полностьюarative analysis of the introduced securities evaluation criteria is held.
Номера страниц: 92-96
Издатель: ООО "Ареал"