The Effectiveness of the GlueVaR Risk Measure on the Metals Market – the Application of Omega Performance Measure

Authors

  • Dominik Krężołek Uniwersytet Ekonomiczny w Katowicach, Wydział Informatyki i Komunikacji, Katedra Demografii i Statystyki Ekonomicznej
  • Grażyna Trzpiot Uniwersytet Ekonomiczny w Katowicach, Wydział Informatyki i Komunikacji, Katedra Demografii i Statystyki Ekonomicznej

DOI:

https://doi.org/10.18778/0208-6018.331.10

Keywords:

Omega risk measure, GlueVaR, effectiveness, risk, metals market

Abstract

Decision‑making process is an individual matter for each investor and the strategy they choose, reflects the level of accepted risk. Nevertheless, any investor wants to minimize huge losses while maximizing profits. As far as the measure of risk is concerned, literature is full of examples of tools which help to evaluate the risk. However, the level of the risk usually differs, depending on circumstances. In this paper we present two non‑classical risk measures: Omega performance risk measure and GlueVaR risk measure. Both of them require a threshold to be set, which reflects the starting point for the investment to be considered as a loss. The effectiveness of the Omega and GlueVaR risk measures is compared using the example of metals market investments.

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Published

2018-01-19

How to Cite

Krężołek, D., & Trzpiot, G. (2018). The Effectiveness of the GlueVaR Risk Measure on the Metals Market – the Application of Omega Performance Measure. Acta Universitatis Lodziensis. Folia Oeconomica, 5(331), 153–167. https://doi.org/10.18778/0208-6018.331.10

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