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Pregled bibliografske jedinice broj: 460663

The alternative risk measures in Excel


Aljinović, Zdravka; Marasović, Branka; Vidović, Jelena
The alternative risk measures in Excel // Proceedings of the 33rd International Convention MIPRO, Computers in Education
Opatija, Hrvatska, 2010. str. 152-157 (predavanje, međunarodna recenzija, cjeloviti rad (in extenso), znanstveni)


CROSBI ID: 460663 Za ispravke kontaktirajte CROSBI podršku putem web obrasca

Naslov
The alternative risk measures in Excel

Autori
Aljinović, Zdravka ; Marasović, Branka ; Vidović, Jelena

Vrsta, podvrsta i kategorija rada
Radovi u zbornicima skupova, cjeloviti rad (in extenso), znanstveni

Izvornik
Proceedings of the 33rd International Convention MIPRO, Computers in Education / - , 2010, 152-157

ISBN
978-953-233-054-0

Skup
MIPRO 2010

Mjesto i datum
Opatija, Hrvatska, 24-28 05 2010

Vrsta sudjelovanja
Predavanje

Vrsta recenzije
Međunarodna recenzija

Ključne riječi
alternative risk measures; Excel

Sažetak
The paper examines the alternative risk measures and portfolio selection with alternative risk measures. The paper follows from student’s activities in the subject of financial modeling, precisely in the modern portfolio theory. As many weaknesses of Markowitz mean-variance model have been noticed, primarily in the sense that variance isn’t appropriate risk measure when distribution of stock returns isn’t normal, the alternative risk measures have to be introduced. The problem is how to present relatively complex portfolio optimization models with alternative risk measures to students’ population and to teach them how to realize those models using Excel. In this paper, the alternative risk measures which attracted significant attention of financial managers last years together with Excel’s formulations of analytical expressions are introduced. The presented risk measures are lower-semi variance, lower semi-absolute deviation, Value at Risk (VaR) and Conditional Value at Risk (CVaR). That is followed by construction of models for portfolio selection based on different risk measures together with Excel solutions. All theoretical settings are accompanied with illustrative examples.

Izvorni jezik
Engleski

Znanstvena područja
Ekonomija



POVEZANOST RADA


Projekti:
055-0000000-1435 - Matematički modeli u analizi razvoja hrvatskog financijskog tržišta (Aljinović, Zdravka, MZOS ) ( POIROT)

Ustanove:
Ekonomski fakultet, Split

Profili:

Avatar Url Zdravka Aljinović (autor)

Avatar Url Branka Marasović (autor)


Citiraj ovu publikaciju:

Aljinović, Zdravka; Marasović, Branka; Vidović, Jelena
The alternative risk measures in Excel // Proceedings of the 33rd International Convention MIPRO, Computers in Education
Opatija, Hrvatska, 2010. str. 152-157 (predavanje, međunarodna recenzija, cjeloviti rad (in extenso), znanstveni)
Aljinović, Z., Marasović, B. & Vidović, J. (2010) The alternative risk measures in Excel. U: Proceedings of the 33rd International Convention MIPRO, Computers in Education.
@article{article, author = {Aljinovi\'{c}, Zdravka and Marasovi\'{c}, Branka and Vidovi\'{c}, Jelena}, year = {2010}, pages = {152-157}, keywords = {alternative risk measures, Excel}, isbn = {978-953-233-054-0}, title = {The alternative risk measures in Excel}, keyword = {alternative risk measures, Excel}, publisherplace = {Opatija, Hrvatska} }
@article{article, author = {Aljinovi\'{c}, Zdravka and Marasovi\'{c}, Branka and Vidovi\'{c}, Jelena}, year = {2010}, pages = {152-157}, keywords = {alternative risk measures, Excel}, isbn = {978-953-233-054-0}, title = {The alternative risk measures in Excel}, keyword = {alternative risk measures, Excel}, publisherplace = {Opatija, Hrvatska} }




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