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Gauging risk with higher moments : handrails in measuring and optimising conditional value at risk
Bugar, Gyöngyi; Maurer, Raimund; Vo, Huy Thanh - 2009
The aim of the paper is to study empirically the influence of higher moments of the return distribution on conditional value at risk (CVaR). To be more exact, we attempt to reveal the extent to which the risk given by CVaR can be estimated when relying on the mean, standard deviation, skewness...
Persistent link: https://www.econbiz.de/10003838424
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Measuring financial risk and portfolio optimization with a non-Gaussian multivariate model
Kim, Young Shin; Giacometti, Rosella; Račev, Svetlozar T. - 2012
In this paper, we propose a multivariate market model with returns assumed to follow a multivariate normal tempered stable distribution. This distribution, defined by a mixture of the multivariate normal distribution and the tempered stable subordinator, is consistent with two stylized facts...
Persistent link: https://www.econbiz.de/10009576319
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Analytic decision rules for financial stochastic programs
Siegmann, Adriaan Hendrik; Lucas, André - 2000 - This version: May 1, 2000
Contemporary financial stochastic programs typically involve a trade-offbetween return and (downside)-risk. Using stochastic programming we characterize analytically (rather than numerically) the optimal decisions that follow from characteristic single-stage and multi-stage versions of such...
Persistent link: https://www.econbiz.de/10011303296
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Optimal dynamic portfolio with mean-CVaR criterion
Li, Jing; Xu, Mingxin - In: Risks : open access journal 1 (2013) 3, pp. 119-147
Value-at-risk (VaR) and conditional value-at-risk (CVaR) are popular risk measures from academic, industrial and regulatory perspectives. The problem of minimizing CVaR is theoretically known to be of a Neyman-Pearson type binary solution. We add a constraint on expected return to investigate...
Persistent link: https://www.econbiz.de/10010338351
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Construction of uncertainty sets for portfolio selection problems
Wiechers, Christof - 2011
While modern portfolio theory grounds on the trade-off between portfolio return and portfolio variance to determine the … optimal investment decision, postmodern portfolio theory uses downside risk measures instead of the variance. Prominent …. The connections of the solution to robust optimization and decision theory are illustrated. -- Portfolio Optimization …
Persistent link: https://www.econbiz.de/10008939076
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Risk, VaR, CVaR and Their Associated Portfolio Optimizations When Asset Returns Have a Multivariate Student T Distribution
Shaw, William Thornton - 2011
We show how to reduce the problem of computing VaR and CVaR with Student T return distributions to evaluation of analytical functions of the moments. This allows an analysis of the risk properties of systems to be carefully attributed between choices of risk function (e.g. VaR vs CVaR); choice...
Persistent link: https://www.econbiz.de/10013129064
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An Asset Allocation Model with Inequalities Constraints and Coherent Risk Measure : An Application to Brazilian Equities
Fernandes, Betina - 2012
We propose a method for optimal portfolio selection built on the Black and Litterman model and with two major contributions. We introduce in the investors' objective function a risk measure named expected tail loss, which is useful in portfolio selection context as it supports the benefi ts of...
Persistent link: https://www.econbiz.de/10013099591
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Downside Risk in Multiperiod Tracking Error Models
Barro, Diana - 2012
The recent crisis made it evident that replicating the performance of a benchmark is not a sufficient goal to meet the expectations of usually risk-averse investors. The manager should also consider that the investor are seeking for a downside protection when the benchmark performs poorly and...
Persistent link: https://www.econbiz.de/10013103103
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Robust Portfolio Optimization with Value-At-Risk Adjusted Sharpe Ratio
Deng, Geng - 2014
We propose a robust portfolio optimization approach based on Value-at-Risk (VaR) adjusted Sharpe ratios. Traditional Sharpe ratio estimates based on limited historical return data are subject to estimation errors. Portfolio optimization based on traditional Sharpe ratios ignores this uncertainty...
Persistent link: https://www.econbiz.de/10013065458
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Asset Management with TEV and VAR Constraints : The Constrained Efficient Frontiers
Palomba, Giulio - 2013
It is well known that investors usually assign part of their funds to asset managers who are given the task of beating a benchmark portfolio. On the other hand, the risk management off ice could impose some restrictions to the asset managers' activity in order to maintain the overall portfolio...
Persistent link: https://www.econbiz.de/10013076442