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BEHAVIOURAL APPROACH TO THE RISK MANAGEMENT
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In this paper we discuss popular risk measures of risk, their attractions and
limitations. In the first chapter, we consider classical approaches to risk
management. There we can see the development of measures of risk and moreover,
we consider the index options of statistical estimates of quantile measures of risk.
On their analysis my diploma thesis was based. The main purpose was the
formation of investment portfolio based on such combinations of measures of risk.
In the second chapter, the future work is represented. There we present the
prospect and cumulative prospect theories. We discuss again the previous models
under behavioral finance framework. We propose a new measure based on Value
at Risk by using assumptions of behavioral finance and try to make suggestions on
other measures