Publication detail

Risk Metrics of Equity Indexes and Investors Worries

ŠKAPA, S.

Original Title

Risk Metrics of Equity Indexes and Investors Worries

Type

conference paper

Language

English

Original Abstract

The cornerstone of the modern theory of decision making under risk is expected utility maximization. The expected utility maximization is an inherent part of the classical portfolio optimalization approach where the standard deviation metrics represents a value of risk in this methodTherefore in this article is suggested method for analyzing risk of equity indexes mostly with the focuse on private investor's worries behavior.

Keywords

expected utility theory; risk; return; equity; semideviation; Sortino ratio; bootstrap

Authors

ŠKAPA, S.

Released

29. 5. 2015

ISBN

978-80-214-5227-5

Book

PERSPECTIVES OF BUSINESS AND ENTREPRENEURSHIP DEVELOPMENT: ECONOMIC, MANAGEMENT, FINANCE AND SYSTEM ENGINEERING FROM THE ACADEMIC AND PRACTITIONERS VIEWS

Pages from

415

Pages to

421

Pages count

7

BibTex

@inproceedings{BUT150331,
  author="Stanislav {Škapa}",
  title="Risk Metrics of Equity Indexes and Investors Worries",
  booktitle="PERSPECTIVES OF BUSINESS AND ENTREPRENEURSHIP DEVELOPMENT: ECONOMIC, MANAGEMENT, FINANCE AND SYSTEM ENGINEERING FROM THE ACADEMIC AND PRACTITIONERS VIEWS",
  year="2015",
  pages="415--421",
  isbn="978-80-214-5227-5"
}