Modern risk systems
Papers published in 2002

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  1. Novosyolov A.A. Portfolio analysis. Proceedings of the I All-Russian FAM conference, v. 1, Krasnoyarsk, 2002, p. 217-230. (translated from Russian)

    Abstract. The paper presents a brief overview of portfolio analysis development during the last 50 years, and points to a number of attractive fields of research. The paper is devoted to 50-th anniversary of the seminal paper by Harry Markowitz "Portfolio selection" (1952).

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  2. Novosyolov A.A. Pseudometrics induced by set functions on boolean algebras. Proceedings of the I All-Russian FAM conference, v. 1, Krasnoyarsk, 2002, p. 231-243. (translated from Russian)

    Abstract. It is well known that any measurable space may be endowed with a pseudometric in the form of symmetric difference of sets. The paper introduces a class of set functions that lead to the metrics of the sort; an application to the theory of random sets is presented.

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  3. Novosyolov A.A. Measuring Risk. Proceedings of the International Scientific School "Modelling and Analysis of Safety and Risk in Complex Systems", St.-Petersburg, 2002, p. 65-69.

    Abstract. Problem of representation of human preferences among uncertain outcomes by functionals (risk measures) is being considered in the paper. Some known risk measures are presented: expected utility, distorted probability and value-at-risk. Properties of the measures are stated and interrelations between them are established. A number of methods for obtaining new risk measures from known ones are also proposed: calculating mixtures and extremal values over given families of risk measures.

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  4. Novosyolov A.A. Diversification in a Portfolio. Proceedings of the International Scientific School "Modelling and Analysis of Safety and Risk in Complex Systems", St.-Petersburg, 2002, p. 178-181.

    Abstract. Diversification has been a matter of interest at least since Robinson Crusoe solved his problem of gunpowder allocation. However the concept was not endowed with strict quantitative sense before. In the present paper a measure of diversification is proposed and some of its properties are studied. Possible directions of further research are also mentioned in conclusion.

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  5. Novosyolov A.A. On risk aversion and substitution rate between risk and return. Proceedings of a conference "Mathematical models of nature and society", Krasnoyarsk, 2002, p. 148-153. (translated from Russian)

    Abstract. The concept of Arrow-Pratt risk aversion is being generalized to nonlinear preferences in the paper. Analogy with economic rate of substitution is pointed out, and the concept is compared to multicriteria decision-making problems (in particular, to Markowitz's portfolio selection). Risk aversion has been calculated for distorted probability model.

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  6. Novosyolov A.A. Nonlinear portfolio analysis and resources allocation. In: Contemporary economics; problems and solutions. Krasnoyarsk, KrasGU, 2002, p. 262-270. (translated from Russian)

    Abstract. The paper is devoted to allocation of restricted resources under probabilistic uncertainty (risk). An example showing inability of classic second order theory to handle the problem is presented. Contemporary portfolio methods are being demonstrated to overcome the difficulties.

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  7. Novosyolov A.A. Stochastic dominance and its application in modeling risk. Notices of the FAM Seminar, v. 7, Krasnoyarsk, 2002, p. 37-44. (translated from Russian) Unavailable for downloading.
  8. Novosyolov A.A. On fantom distribution paradox. Notices of the FAM Seminar, v. 7, Krasnoyarsk, 2002, p. 45-53. (translated from Russian) Unavailable for downloading.

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