of market risk showed that passively managed funds are more attractive for the average Russian investor, especially if … and is ready to take on additional risk in order to obtain higher yields, he should pay special attention to the …

English Abstract: Distortion risk measures have been widely used in financial and insurance applications in recent …" risk measures introduced into scientific circulation by the author to the class of distortion risk measures, as well as to … describe the corresponding distortion functions.This work introduces a new class of risk measures "ES to degree t" and also …

constructed optimal portfolio with average return on 8% higher than market portfolio with the same risk during period Jan. 2015 … nonparametric method (CART) by solving utility maximization problem of investors with different value of coefficient of risk …

constructed optimal portfolio with average return on 7% higher than market portfolio with the same risk. It should be mentioned …, hence, have less risk. Therefore we use another definition of optimal portfolio: optimal portfolio is the portfolio with … certain risk which return is not less than the return of market portfolio with the same risk.Also in this research we …