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Neural network predictive modeling on dynamic portfolio management: A simulation-based portfolio optimization approach

Yu, Jiayang; Chang, Kuo-Chu - In: Journal of Risk and Financial Management 13 (2020) 11, pp. 1-23

-based Predictive Model (EFPM). Then, we combine it with the Copula-GARCH simulation model and the Mean-Conditional Value at Risk (Mean-CVaR …, Sharpe ratio, maximum drawdown, and 99% CVaR. …

Persistent link: https://www.econbiz.de/10012611483

Tail Probabilities and Partial Moments for Quadratic Forms in Multivariate Generalized Hyperbolic Random Vectors

Broda, Simon A. - 2013

Countless test statistics can be written as quadratic forms in certain random vectors, or ratios thereof. Consequently, their distribution has received considerable attention in the literature. Except for a few special cases, no closed-form expression for the cdf exists, and one resorts to...

Persistent link: https://www.econbiz.de/10010326235

CVaR regression based on the relation between CVaR and mixed-quantile quadrangles

Golodnikov, Alex; Kuzmenko, Viktor; Uryasev, Stan - In: Journal of Risk and Financial Management 12 (2019) 3, pp. 1-22

A popular risk measure, conditional value-at-risk (CVaR), is called expected shortfall (ES) in financial applications …. The research presented involved developing algorithms for the implementation of linear regression for estimating CVaR as a … function of some factors. Such regression is called CVaR (superquantile) regression. The main statement of this paper is: CVaR …

Persistent link: https://www.econbiz.de/10012611178

Optimal Allocation of Retirement Portfolios

Maritato, Kevin; Lane, Morton; Murphy, Matthew; … - In: Journal of Risk and Financial Management 15 (2022) 2, pp. 1-17

with risk measured by CVaR and additional sophisticated constraints. The cash outflow shortages are penalized in the …

Persistent link: https://www.econbiz.de/10013201368

Value-at-risk and expected shortfall when there is long range dependence

Härdle, Wolfgang Karl; Mungo, Julius - 2008

, we estimate two long memory models, the Fractional Integrated Asymmetric Power-ARCH and the Hyperbolic-GARCH with …

Persistent link: https://www.econbiz.de/10010274140

An integrated CVaR and real options approach to investments in the energy sector

Fortin, Ines; Fuss, Sabine; Hlouskova, Jaroslava; … - 2007

optimization, where the measure of risk is the Conditional Value-at-Risk (CVaR). …

Persistent link: https://www.econbiz.de/10010294022

Down-side Risk Metrics as Portfolio Diversification Strategies across the GFC

Allen, David E.; McAleer, Michael; Powell, Robert J.; … - 2015

-side investment optimisation strategies. We begin by comparing Markowitz with CVaR, and then proceed to evaluate the relative …

Persistent link: https://www.econbiz.de/10011403579

Down-side risk metrics as portfolio diversification strategies across the global financial crisis

Allen, David E.; McAleer, Michael; Powell, Robert J.; … - In: Journal of Risk and Financial Management 9 (2016) 2, pp. 1-18

-side investment optimisation strategies. We begin by comparing Markowitz with CVaR, and then proceed to evaluate the relative …

Persistent link: https://www.econbiz.de/10011843271

Portfolios dominating indices: Optimization with second-order stochastic dominance constraints vs. minimum and mean variance portfolios

Keçeci, Neslihan Fidan; Kuzmenko, Viktor; Uryasev, Stan - In: Journal of Risk and Financial Management 9 (2016) 4, pp. 1-14

The paper compares portfolio optimization with the Second-Order Stochastic Dominance (SSD) constraints with mean-variance and minimum variance portfolio optimization. As a distribution-free decision rule, stochastic dominance takes into account the entire distribution of return rather than some...

Persistent link: https://www.econbiz.de/10011843276

Gauging risk with higher moments: Handrails in measuring and optimising conditional value at risk

Bugár, Gyöngyi; Maurer, Raimond H.; Vo, Huy Thanh - 2009

value at risk (CVaR). To be more exact, we attempt to reveal the extent to which the risk given by CVaR can be estimated … different confidence levels for CVaR, and the contribution of the identified factors in explaining CVaR was determined … preferences. In addition, portfolio optimisation was performed in the mean-CVaR framework characterised by using CVaR as a measure …

Persistent link: https://www.econbiz.de/10010275840