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Application of a general risk management model to portfolio optimization problems with elliptical distributed returns for risk neutral and risk averse decision makers.
Kaynar, B.; Birbil, Birbil, S.I.; Frenk, Frenk, J.B.G. - Faculteit der Economische Wetenschappen, Erasmus … - 2007
. When the so-called disutility function is taken as the identity function, the optimization problem is solved for a risk … procedure quadprog within MATLAB. When the disutility function is taken as a convex increasing function, the problem at hand is … effects of two disutility functions as well as to examine the convergence behavior of the Monte Carlo estimation approach. …
Persistent link: https://www.econbiz.de/10010731653
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Application of a general risk management model to portfolio optimization problems with elliptical distributed returns for risk neutral and risk averse decision makers.
Kaynar, B.; Birbil, S.I.; Frenk, J.B.G. - Erasmus University Rotterdam, Econometric Institute - 2007
. When the so-called disutility function is taken as the identity function, the optimization problem is solved for a risk … procedure quadprog within MATLAB. When the disutility function is taken as a convex increasing function, the problem at hand is … effects of two disutility functions as well as to examine the convergence behavior of the Monte Carlo estimation approach. …
Persistent link: https://www.econbiz.de/10004972213
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Application of a General Risk Management Model to Portfolio Optimization Problems with Elliptical Distributed Returns for Risk Neutral and Risk Averse Decision Makers
Kaynar, B.; Birbil, S.I.; Frenk, J.B.G. - Erasmus Research Institute of Management (ERIM), ERIM … - 2007
In this paper portfolio problems with linear loss functions and multivariate elliptical distributed returns are studied. We consider two risk measures, Value-at-Risk and Conditional-Value-at-Risk, and two types of decision makers, risk neutral and risk averse. For Value-at-Risk, we show that the...
Persistent link: https://www.econbiz.de/10005505034
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Evaluating Portfolio Value-At-Risk Using Semi-Parametric GARCH Models
Verbeek, Marno; Rombouts, J.V.K. - Erasmus Research Institute of Management (ERIM), … - 2009
In this paper we examine the usefulness of multivariate semi-parametric GARCH models for evaluating the Value-at-Risk (VaR) of a portfolio with arbitrary weights. We specify and estimate several alternative multivariate GARCH models for daily returns on the S&P 500 and Nasdaq indexes. Examining...
Persistent link: https://www.econbiz.de/10010731535
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Risk measures and their applications in asset management
Birbil, Birbil, S.I.; Frenk, Frenk, J.B.G.; Kaynar, B.; … - Faculteit der Economische Wetenschappen, Erasmus … - 2008
Several approaches exist to model decision making under risk, where risk can be broadly defined as the effect of variability of random outcomes. One of the main approaches in the practice of decision making under risk uses mean-risk models; one such well-known is the classical Markowitz model,...
Persistent link: https://www.econbiz.de/10010837973
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Risk measures and their applications in asset management
Birbil, S.I.; Frenk, J.B.G.; Kaynar, B.; Noyan, N. - Erasmus University Rotterdam, Econometric Institute - 2008
Several approaches exist to model decision making under risk, where risk can be broadly defined as the effect of variability of random outcomes. One of the main approaches in the practice of decision making under risk uses mean-risk models; one such well-known is the classical Markowitz model,...
Persistent link: https://www.econbiz.de/10004972217
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Minimizing Conditional Value-at-Risk under Constraint on Expected Value
Li, Jing; Xu, Mingxin - Volkswirtschaftliche Fakultät, … - 2009
Conditional Value-at-Risk (CVaR) measures the expected loss amount beyond VaR. It has vast advantage over VaR because of its property of coherence. This paper gives an analytical solution in a complete market setting to the risk reward problem faced by a portfolio manager whose portfolio needs...
Persistent link: https://www.econbiz.de/10008694167
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Portfolio credit-risk optimization
Iscoe, Ian; Kreinin, Alexander; Mausser, Helmut; … - In: Journal of Banking & Finance 36 (2012) 6, pp. 1604-1615
This paper evaluates several alternative formulations for minimizing the credit risk of a portfolio of financial contracts with different counterparties. Credit risk optimization is challenging because the portfolio loss distribution is typically unavailable in closed form. This makes it...
Persistent link: https://www.econbiz.de/10010574830
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Measuring Credit Spread Risk
Campbell-Pownall, Campbell-Pownall, R.A.J.; Huisman, … - Erasmus Research Institute of Management (ERIM), … - 2002
It is widely known that the small but looming possibility of default renders the expected return distribution for financial products containing credit risk to be highly skewed and fat tailed. In this paper we apply recent techniques developed for incorporating the additional risk faced by...
Persistent link: https://www.econbiz.de/10010731035
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Systemic risk measurement: Multivariate GARCH estimation of CoVaR
Girardi, Giulio; Tolga Ergün, A. - In: Journal of Banking & Finance 37 (2013) 8, pp. 3169-3180
We modify Adrian and Brunnermeier’s (2011) CoVaR, the VaR of the financial system conditional on an institution being in financial distress. We change the definition of financial distress from an institution being exactly at its VaR to being at most at its VaR. This change allows us to...
Persistent link: https://www.econbiz.de/10011065629