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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

What derives the bond portfolio value-at-risk : information roles of macroeconomic and financial stress factors

Tu, Anthony H.; Chen, Cathy Yi-Hsuan - 2016

This paper first develops a new approach, which is based on the Nelson-Siegel term structure factor-augmented model, to compute the VaR of bond portfolios. We then applied the model to examine whether information contained on macroeconomic variables and financial shocks can help to explain the...

Persistent link: https://www.econbiz.de/10011437907

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

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

A Semiparametric Approach to Value-at-Risk, Expected Shortfall and Optimum Asset Allocation in Stock-Bond Portfolios Before and After the Global Financial Crisis

Silvapulle, Param - 2012

This paper investigates a stock-bond portfolio s tail risks such as value-at-risk (VaR) and expected shortfall (ES) and the optimum asset allocation, and the way in which these measures have been a¤ected by the recent global financial crisis (GFC). The semiparametric method is used to estimate...

Persistent link: https://www.econbiz.de/10013115773

How Expected Shortfall Can Simplify the Equally-Weighted Risk Contribution Portfolio

Colucci, Stefano - 2011

In recent years both equity and bond markets have been afflicted by high volatility. In order to build up a conservative portfolio several models may be used, such as minimum variance portfolio or equally weighted portfolio. In 2008/09 another way to deal with diversification came up, that is...

Persistent link: https://www.econbiz.de/10013117857

An Economic Evaluation of the Model Risk for Risk Models

Maillet, Bertrand B. - 2011

The recent experience from the global financial crisis has raised serious doubts about the accuracy of standard risk measures as a tool to quantify extreme downward risks. Standard risk measures are subject to a “model risk” due to the specification and estimation uncertainty. We propose a...

Persistent link: https://www.econbiz.de/10013119621

Value at Risk and Stock Portfolio Liquidity

Pasaribu, Rowland Bismark - 2011

This paper examines the effects of liquidity on the stock and portfolio risk measure by Value at Risk (VaR). Using daily stock returns and firm market capitalization, empirical calculation of VaR that confirmed not yet succeeded to prove pattern of relations between risk and liquidity both...

Persistent link: https://www.econbiz.de/10013125154

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

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