Sensitivity of portfolio VaR and CVaR to portfolio return characteristics

被引：28
|
作者：
Stoyanov, Stoyan V. [1 ]
Rachev, Svetlozar T. [2 ,3 ,4 ]
Fabozzi, Frank J. [5 ]
机构：
[1] EDHEC Risk Inst Asia, EDHEC Business Sch, Singapore 049145, Singapore
[2] SUNY Stony Brook, Stony Brook, NY 11794 USA
[3] Univ Karlsruhe, Karlsruhe, Germany
[4] FinAnalytica Inc, New York, NY USA
[5] EDHEC Business Sch, Nice, France
来源：
ANNALS OF OPERATIONS RESEARCH | 2013年 / 205卷 / 01期
关键词：
Value-at-risk; Conditional value-at-risk; Student's t distribution; Stable distributions; Marginal rebalancing; RISK; MODELS;
D O I：
10.1007/s10479-012-1142-1
中图分类号：
C93 [管理学]; O22 [运筹学];
学科分类号：
070105 ; 12 ; 1201 ; 1202 ; 120202 ;
摘要：
Risk management through marginal rebalancing is important for institutional investors due to the size of their portfolios. We consider the problem of improving marginally portfolio VaR and CVaR through a marginal change in the portfolio return characteristics. We study the relative significance of standard deviation, mean, tail thickness, and skewness in a parametric setting assuming a Student's t or a stable distribution for portfolio returns. We also carry out an empirical study with the constituents of DAX30, CAC40, and SMI. Our analysis leads to practical implications for institutional investors and regulators.
引用
收藏
页码：169 / 187
页数：19
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