PL EN


2014 | 192 | 21-30
Article title

Risk-based Approach in Portfolio Management on Polish Power Exchange and European Energy Exchange

Content
Title variants
PL
Zarządzanie ryzykiem portfela na towarowej giełdzie energii (polpx) i europejskiej giełdzie energii (eex)
Languages of publication
EN
Abstracts
PL
W artykule dokonano analizy porównawczej modeli wyboru portfeli budowanych w oparciu o miarę ryzyka CVaR (warunkowaną wartość zagrożoną). Zbadano portfele na rynkach kontraktów krótkoterminowych energii elektrycznej z wykorzystaniem liniowych dziennych stóp zwrotu cen notowanych na Towarowej Giełdzie Energii (POLPX) i Europejskiej Giełdzie Energii EEX.
Year
Volume
192
Pages
21-30
Physical description
Contributors
References
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  • Rockafellar R.T., Uryasev S.: Conditional Value-at-Risk for General Loss Distributions. "Journal of Banking and Finance" 2002, 26(7), 1443-1471.
  • Steuer R.E., Qi Y., Hirscheberger M.: Developments in Multi-attribute Portfolio Selection. In: Multiple Criterion Decision Making. Ed. T. Trzaskalik. UE, Katowice 2006, 251-262.
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Document Type
Publication order reference
Identifiers
ISSN
2083-8611
YADDA identifier
bwmeta1.element.desklight-46faddd2-aeb8-4f15-bcd0-144c5e9f8893
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