Vestnik TVGU. Seriya: Prikladnaya Matematika [Herald of Tver State University. Series: Applied Mathematics]
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Vestnik TVGU. Seriya: Prikladnaya Matematika [Herald of Tver State University. Series: Applied Mathematics], 2013, Issue 3, Pages 65–71 (Mi vtpmk142)  
This article is cited in 1 scientific paper (total 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. Khokhlova, Rumyantseva Ol'ga Igorevnab

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.
Citations (1)
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.
Received: 09.09.2013
Revised: 24.09.2013
Document Type: Article
UDC: 519.2
Language: Russian
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