Portfolio Analysis of Investments in Risk Management
D.S. Hooda1, M. Stehlík2, *
Identifiers and Pagination:Year: 2011
First Page: 21
Last Page: 26
Publisher Id: TOSPJ-3-21
Article History:Received Date: 12/5/2011
Revision Received Date: 25/6/2011
Acceptance Date: 28/6/2011
Electronic publication date: 26/8/2011
Collection year: 2011
open-access license: This is an open access article distributed under the terms of the Creative Commons Attribution 4.0 International Public License (CC-BY 4.0), a copy of which is available at: https://creativecommons.org/licenses/by/4.0/legalcode. This license permits unrestricted use, distribution, and reproduction in any medium, provided the original author and source are credited.
In many practical investment situations the amount of available memory on stock data is extremely huge. Thus many investors are attracted to base their decisions on the information "currently available in their minds" (see [1, 2]). In the present paper various risk measurement models having application in the investment management are discussed. First we explain the concept of mean variance efficient frontier and Markowitz’s model to find all efficient portfolios that maximize the expected returns and minimize the risk. Markovian risk measures are also mentioned. Some measures of portfolio analysis based on entropy mean-variance frontier are studied. Risk aversion index and Pareto-optimal sharing of risk are explained. In view of these facts it is very interesting to study how the investor should make investments so that his total expected return is maximized and the risk of losing his capital is minimized. A maximum entropy model in risk sharing is proposed and applied to some problems.