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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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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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Accurate evaluation of expected shortfall for linear portfolios with elliptically distributed risk factors
Dobrev, Dobrislav; Nesmith, Travis D.; Oh, Dong Hwan - In: Journal of risk and financial management : JRFM 10 (2017) 1, pp. 1-14
We provide an accurate closed-form expression for the expected shortfall of linear portfolios with elliptically distributed risk factors. Our results aim to correct inaccuracies that originate in Kamdem (2005) and are present also in at least thirty other papers referencing it, including the...
Persistent link: https://www.econbiz.de/10011619035
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Hedging foreign exchange rate risk : multi-currency diversification
Álvarez-Díez, Susana; Alfaro-Cid, Eva; Fernández … - In: European journal of management and business economics : … 25 (2016) 1, pp. 2-7
This article proposes a multi-currency cross-hedging strategy that minimizes the exchange risk. The use of derivatives in small and medium-sized enterprises (SMEs) is not common but, despite its complexity, can be interesting for those with international activities. In particular, the reduction...
Persistent link: https://www.econbiz.de/10011821658
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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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Ross-type dynamic portfolio separation (almost) without Ito stochastic calculus
Framstad, Nils Chr. - 2013 - This version August 16, 2013
While it is common knowledge that portfolio separation in a continuous-time lognormal market is due to the basic properties of the Gaussian distribution, the usual textbook exposition relies on dynamic programming and thus Itô stochastic calculus and the appropriate regularity conditions. This...
Persistent link: https://www.econbiz.de/10009787073