505. Coherent risk measurement and return analysis on non-reflexive Banach space
Invited abstract in session MB-12: Portfolio optimization, stream Applications: Finance.
Monday, 10:30-12:30Room: B100/8009
Authors (first author is the speaker)
| 1. | Hedvig Gal
|
| Department of Economics, Corvinus University of Budapest |
Abstract
The research papaer relies on the a priori estimation of Kountzakis (2011), where the focus of interest was on the measurement of financial risk on non-reflexive Banach space. In the current formulation the research question referes on what we can say about the axioms of coherence, risk measures and portfolio performance analysis under the conditon of non-reflexive Banach space? The financial portfolio compares the financial assets with high and low average number of daily transactions and their standard deviation, Conditional Value-at-Risk (CvaR), Value-at-Risk (VaR), performance of Sharpe ratio, Treynor indicator and the optimal portfolio execution strategy using Kissel-Glanz function.
Keywords
- Applications of continuous optimization
- Data driven optimization
- Computational mathematical optimization
Status: accepted
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