Reward-risk portfolio selection and stochastic dominance

Article Abstract:

A mathematical model for arriving at an optimal reward-risk ratio useful for portfolio management is presented. Within the portfolio the selection is based on the stochastic dominance of the investments.

Switzerland, Analysis, Usage, Investments, Stochastic analysis, Mathematical models

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The hidden dangers of historical simulation

Article Abstract:

The usage of historical value-at-risk computation methods for analyzing the risk factors associated with portfolio management is presented.

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Minimizing CVaR and VaR for a portfolio of derivatives

Article Abstract:

The process of optimizing portfolio risk factors by using value at risk and conditional value risk is presented.

Capital funds & cash flow, Derivatives (Financial instruments), Valuation

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