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Certain characteristics are known for their predictability of cross-sectional expected stock returns. We propose a novel portfolio optimization procedure to incorporate multiple characteristic information, which requires minimum parameters and no stringent assumptions. Instead of investing in...
Persistent link: https://www.econbiz.de/10013492198
We present a theoretical framework for studying how the cross holdings of credit asset securitization (CAS) products may affect systemic risk in banking. We demonstrate that cross holdings can be understood from the perspective of pursuing profit and credit creation; these motives drive up...
Persistent link: https://www.econbiz.de/10013307349
Diversification plays an important role in financial theory and lays the foundation for financial risk management. However, its role is greatly weakened when systemic risk events occur. In this paper, we study portfolio selection against systemic risk from the perspective of individual...
Persistent link: https://www.econbiz.de/10014258315
Robust optimization, one of the most popular topics in the field of optimization and control since the late 1990s, deals with an optimization problem involving uncertain parameters. In this paper, we consider the relative robust conditional value-at-risk portfolio selection problem where the...
Persistent link: https://www.econbiz.de/10008483407
Portfolio risk can be decomposed into two parts, the systematic risk and the nonsystematic risk. It is well known that the nonsystematic risk can be eliminated by diversification, while the systematic risk cannot. Thus, the portfolio risk, except for that of undiversified small portfolios, is...
Persistent link: https://www.econbiz.de/10010662507
As the skewed return distribution is a prominent feature in nonlinear portfolio selection problems which involve derivative assets with nonlinear payoff structures, Value-at-Risk (VaR) is particularly suitable to serve as a risk measure in nonlinear portfolio selection. Unfortunately, the...
Persistent link: https://www.econbiz.de/10010662589
We develop in this paper a novel portfolio selection framework with a feature of double robustness in both return distribution modeling and portfolio optimization. While predicting the future return distributions always represents the most compelling challenge in investment, any underlying...
Persistent link: https://www.econbiz.de/10011077505
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