Riska mēru izmantošana portfeļu teorijā
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Latvijas Universitāte
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Abstract
Darbā tiek izpētīts riska jēdziensun tā būtība. Vispirms riska jēdziens tiek izvērtēts ekonomisku un finanšu problēmu novērtēšanas nolūkā, pēc tam tiek ieviesta riska mēra koncepcija saskaņā ar Ebera, Hitca, Arcznera un Delbena (Eber, Heath, Artzner un Delbaen) 1999. gada darbu, analizēti riska mēru piemēri un īpašības. Darbā tiek analizētas riska mēru novērtēšanas metodes un programmas šo novērtēšanas metožu realizēšanai praksē. Riska mēra koncepcijas izmantošanas iespējas investīciju portfeļu teorijā ir parādītas uz Baltijas uzņēmumu portfeļa piemēra, vienlaikus tiek izpētīts Baltijas akciju tirgus.
The notion of risk is analyzed in the paper. At first, informal economic and financial discussion of risk notion is given. Then the notion of risk measure is given following the 1999 paper of Eber, Heath, Arzner and Delbaen. Examples and properties of risk measures are discussed. The methods of the risk measure evaluation are given and their implementation programs are created and used. The opportunities of the risk measure usage are shown by Baltic company stock portfolio example, at the same time the Baltic stock market is studied.
The notion of risk is analyzed in the paper. At first, informal economic and financial discussion of risk notion is given. Then the notion of risk measure is given following the 1999 paper of Eber, Heath, Arzner and Delbaen. Examples and properties of risk measures are discussed. The methods of the risk measure evaluation are given and their implementation programs are created and used. The opportunities of the risk measure usage are shown by Baltic company stock portfolio example, at the same time the Baltic stock market is studied.