Сибирский федеральный университет

Тип публикации: доклад, тезисы доклада, статья из сборника материалов конференций

Конференция: ПЕРСПЕКТИВЫ РАЗВИТИЯ ЭКОНОМИКИ И МЕНЕДЖМЕНТА; Челябинск; Челябинск

Год издания: 2014

Ключевые слова: assets selection, diversification, reward-to-variability ratio, risk measure, Value-at-, 'beta' coefficient

Аннотация: Securities evaluation criteria are presented to select the assets for portfolio diversification. Modifications of the Sharpe coefficient are proposed, based on the new introduced risk measures. The proposed selection criteria are evaluated according to the efficiency of a composed portfolio, measured by the Sharpe coefficient. Comparative analysis of the introduced securities evaluation criteria is held.

Номера страниц: 92-96

Издатель: ООО "Ареал"

• Malakhova A.A. (Siberian Federal University, Krasnoyarsk)
• Zyryanova I.I. (Siberian Federal University, Krasnoyarsk)

• РИНЦ (eLIBRARY.RU)