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 / Biljanović, Petar et. al. - Rijeka : Hrvatska udruga za informacijsku i komunikacijsku tehnologiju, elektroniku i mikroelektroniku - MIPRO, 2010, 152-157

ISBN
978-953-233-050-2

Skup
33rd International Convention on Information and Communication Technology, Electronics and Microelectronics

Mjesto i datum
Opatija, Hrvatska, 24.05.2010. - 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