NDLI: Security portfolio management based on combined entropic risk measures

Content Provider	Springer Nature Link
Author	Bronshtein, E. M. Kondrat’eva, O. V.
Copyright Year	2013
Abstract	A combined entropic financial risk measure that is a convex combination of the entropic risk measure and the CVaR measure is considered. The effectiveness of the proposed measure in the formation of security portfolios is analyzed. Results of computational experiments are presented.
Starting Page	837
Ending Page	841
Page Count	5
File Format	PDF
ISSN	10642307
Journal	Journal of Computer and Systems Sciences International
Volume Number	52
Issue Number	5
e-ISSN	15556530
Language	English
Publisher	Springer US
Publisher Date	2013-10-11
Publisher Place	Boston
Access Restriction	One Nation One Subscription (ONOS)
Subject Keyword	Control, Robotics, Mechatronics
Content Type	Text
Resource Type	Article
Subject	Applied Mathematics Theoretical Computer Science Computer Networks and Communications Control and Systems Engineering Information Systems Computer Vision and Pattern Recognition Software

Sl.	Authority	Responsibilities	Communication Details
1	Ministry of Education (GoI), Department of Higher Education	Sanctioning Authority	https://www.education.gov.in/ict-initiatives
2	Indian Institute of Technology Kharagpur	Host Institute of the Project: The host institute of the project is responsible for providing infrastructure support and hosting the project	https://www.iitkgp.ac.in
3	National Digital Library of India Office, Indian Institute of Technology Kharagpur	The administrative and infrastructural headquarters of the project	Dr. B. Sutradhar bsutra@ndl.gov.in
4	Project PI / Joint PI	Principal Investigator and Joint Principal Investigators of the project	Dr. B. Sutradhar bsutra@ndl.gov.in Prof. Saswat Chakrabarti will be added soon
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Security portfolio management based on combined entropic risk measures