{"title":"应用不同风险度量对最优投资组合选择的影响&以贝尔格拉德证券交易所为例","authors":"J. Stanković, Evica Petrović, K. Denčić-Mihajlov","doi":"10.22190/fueo191016002s","DOIUrl":null,"url":null,"abstract":"Despite its wide use in practice, Modern Portfolio Theory and Markowitz’s approach to optimization, which is based on quadratic programming and the first two moments of the probability distribution of returns as major parameters, was faced with criticism. Therefore, standard Mean-Variance approach had been modified by applying more appropriate risk measures in optimization algorithm. The aim of this paper is to indicate efficiency of these models as well as justification of their usage in managing stocks portfolio on the Belgrade Stock Exchange.","PeriodicalId":31607,"journal":{"name":"Facta Universitatis Series Economics and Organization","volume":"1 1","pages":"017-026"},"PeriodicalIF":0.0000,"publicationDate":"2020-04-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"1","resultStr":"{\"title\":\"EFFECTS OF APPLYING DIFFERENT RISK MEASURES ON THE OPTIMAL PORTFOLIO SELECTION: THE CASE OF THE BELGRADE STOCK EXCHANGE\",\"authors\":\"J. Stanković, Evica Petrović, K. Denčić-Mihajlov\",\"doi\":\"10.22190/fueo191016002s\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"Despite its wide use in practice, Modern Portfolio Theory and Markowitz’s approach to optimization, which is based on quadratic programming and the first two moments of the probability distribution of returns as major parameters, was faced with criticism. Therefore, standard Mean-Variance approach had been modified by applying more appropriate risk measures in optimization algorithm. The aim of this paper is to indicate efficiency of these models as well as justification of their usage in managing stocks portfolio on the Belgrade Stock Exchange.\",\"PeriodicalId\":31607,\"journal\":{\"name\":\"Facta Universitatis Series Economics and Organization\",\"volume\":\"1 1\",\"pages\":\"017-026\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2020-04-13\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"1\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Facta Universitatis Series Economics and Organization\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.22190/fueo191016002s\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Facta Universitatis Series Economics and Organization","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.22190/fueo191016002s","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
EFFECTS OF APPLYING DIFFERENT RISK MEASURES ON THE OPTIMAL PORTFOLIO SELECTION: THE CASE OF THE BELGRADE STOCK EXCHANGE
Despite its wide use in practice, Modern Portfolio Theory and Markowitz’s approach to optimization, which is based on quadratic programming and the first two moments of the probability distribution of returns as major parameters, was faced with criticism. Therefore, standard Mean-Variance approach had been modified by applying more appropriate risk measures in optimization algorithm. The aim of this paper is to indicate efficiency of these models as well as justification of their usage in managing stocks portfolio on the Belgrade Stock Exchange.
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