Yu. S. Khokhlov, Rumyantseva Ol'ga Igorevna, “Assessing Contribution Of The Components In The Overall Risk Of The Portfolio Specified By Multidimensional Twice Stochastic Process”, Vestnik TVGU. Ser. Prikl. Matem. [Herald of Tver State University. Ser. Appl. Math.], 2013, Issue 3,Pages <nobr>65

This article is cited in 1 paper

Probabilistic Possibilistic Models

Assessing Contribution Of The Components In The Overall Risk Of The Portfolio Specified By Multidimensional Twice Stochastic Process

Yu. S. Khokhlov^a, Rumyantseva Ol'ga Igorevna^b

^a Department of Probability Theory and Mathematical Statistics, Peoples' Friendship University of Russia.
^b Department of Mathematical Statistics, Moscow State University. M.V. Lomonosov Moscow State University.

Abstract: The representation of securities portfolio in the form of twice stochastic Poisson process is considered. Tail Conditional Expectation estimate for a Portfolio components is obtained.

Keywords: Twice stochastic Poisson process, portfolio tail conditional expectation.

UDC: 519.2

Received: 09.09.2013
Revised: 24.09.2013