Pregledni rad
Optimisation of the securities portfolio as a part of the risk management process
Srečko Devjak
; Narodna banka Slovenije
Sažetak
Securities of Slovene companies are listed at the Ljubljana Stock Exchange. Market capitalisation at the Ljubljana Stock Exchange has been growing since 1996 due to new listings of equities. On the basis of financial data time series for listed equities, the financial investor can calculate a risk for each individual security with a selected risk measure and can determine an optimal portfolio, subject to selected constraints. In this paper, we shall consequently determine an optimal portfolio of equities for the financial investor, investing his assets only in selected equities listed at the Ljubljana Stock Exchange. Selecting an appropriate risk measure is especially important for a commercial bank in a risk management process. Commercial banks can use internal models in the risk management process and for the purpose of capital charges as well. An optimal portfolio will be calculated, using a non-linear mathematical model.
Ključne riječi
securities; portfolio management; risk management; Slovenia; Ljubljana Stock Exchange
Hrčak ID:
184537
URI
Datum izdavanja:
13.7.2017.
Posjeta: 1.093 *