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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

Efficient Portfolio Valuation Incorporating Liquidity Risk

Tian, Yu - 2014

According to the theory proposed by Acerbi & Scandolo (2008), the value of a portfolio is defined in terms of public market data and idiosyncratic portfolio constraints imposed by an investor holding the portfolio. Depending on the constraints, one and the same portfolio could have different...

Persistent link: https://www.econbiz.de/10013068715

A Closed-Form Solution of the Black-Litterman Model with Conditional Value at Risk

Pang, Tao - 2019

We consider a portfolio optimization problem of the Black-Litterman type, in which we use the conditional value-at-risk (CVaR) as the risk measure and we use the multi-variate elliptical distributions, instead of the multi-variate normal distribution, to model the financial asset returns. We...

Persistent link: https://www.econbiz.de/10012902710

Tail Risk in the Cross Section of Alternative Risk Premium Strategies

Baltas, Nick - 2019

a multi-asset version of the downside risk CAPM. In line with the empirical literature, they find that the cross …-section of realized returns is much better explained when using the downside risk CAPM, rather than relying on the traditional … CAPM. However, in contrast to the empirical literature, the authors cannot always recover the required signs in their cross …

Persistent link: https://www.econbiz.de/10012898606

Estimation of Multivariate Asset Models with Jumps

Loregian, Angela - 2018

We propose a consistent and computationally efficient 2-step methodology for the estimation of multidimensional non-Gaussian asset models built using Lévy processes. The proposed framework allows for dependence between assets and different tail-behaviors and jump structures for each asset. Our...

Persistent link: https://www.econbiz.de/10012937321

The effectiveness of Value-at-Risk models in various volatility regimes

Schiffers, Aleksander; Chlebus, Marcin - 2021

Persistent link: https://www.econbiz.de/10012816709

A relative robust approach on expected returns with bounded CVaR for portfolio selection

Benati, Stefano; Sánchez Conde, Eduardo - In: European journal of operational research : EJOR 296 (2022) 1, pp. 332-352

Persistent link: https://www.econbiz.de/10012820171

Asymmetric Jump Beta Estimation with Implications for Portfolio Risk Management

Alexeev, Vitali - 2019

We evaluate the impact of extreme market shifts on equity portfolios and study the difference in negative and positive reactions to market jumps with implications for portfolio risk management. Employing high-frequency data for the constituents of the S&P500 index over the period 2 January 2003...

Persistent link: https://www.econbiz.de/10012865575

Predictors of excess return in a green energy equity portfolio : market risk, market return, value-at-risk and or expected shortfall?

Abraham, Rebecca; El-Chaarani, Hani; Tao, Zhi - In: Journal of risk and financial management : JRFM 15 (2022) 2, pp. 1-31

(beta), as indicated by the single-factor Capital Asset Pricing Model (CAPM), and the multifactor Fama-French Three …

Persistent link: https://www.econbiz.de/10012872607

FX Volatility Adjustment for Risk Factors Simulation

Kondratyev, Alexei - 2017

This paper discusses a class of methodological issues that frequently arise in the risk management systems such as PFE and CVA engines. Simplified methodology and shortcuts come at a price, sometimes a steep one. To account for model deficiencies and disconnect between the calibration and the...

Persistent link: https://www.econbiz.de/10012975642