Medidas de risco em otimização de portfolios / Risk measures in portfolio optimization
AUTOR(ES)
Luis Felipe Cesar da Rocha Bueno
DATA DE PUBLICAÇÃO
2008
RESUMO
In this dissertation we make a presentation on some mathematical models with applications in economics. Among the studied models we highlight a discrete version of the popular risk measures VaR (Value at Risk) and C-VaR (Conditional Value at Risk). We discuss about some properties of such measures, and, above all, expose on some ideas for optimizing the VaR and CVaR under a OVO (Order Value Optimization) formulation and propose a new formulation to the problem of minimizing the VaR
ASSUNTO(S)
modelamento matematico otimização matematica value at risk (var) order-value optimization (ovo) conditional value at risk (cvar) conditional value at risk (cvar) mathematical optimization value at risk (var) mathematical modelling order-value optimization (ovo)
