文章基本信息

标题：INFLUENCE OF REGIME SWITCHING TO RISK IN PORT-MODERN PORTFOLIO MANAGEMENT
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作者：Geambaşu, Cristina ; Geambaşu, Liviu ; Jianu, Iulia 等
期刊名称：Theoretical and Applied Economics
印刷版ISSN：1841-8678
电子版ISSN：1844-0029
出版年度：2013
卷号：XX
期号：Special I
页码：392-399
出版社：Asociatia Generala a Economistilor din Romania - AGER
摘要：The present financial crises determines an increase in analysing the application of regime switching over portfolio investments. We applied the switching regimes to measurement of risk as presented in post-modern portfolio management theory. Post-modern portfolio theory include investor’s tendency to measure risk as the chance to obtain from the investment performed a return lower than the minimum expected by him. The investor, as presented by behavioural finance, is more concerned about his emotional satisfaction as result of the investment process than to obtain an optimal mathematical return.
关键词：post-modern portfolio theory; switching regimes; risk measure; minimum expected return.