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
相关论文
共 50 条
  • [41] VaR for Loan Portfolio in Uncertain Environment
    Ning, Yufu
    Wang, Xiao
    Pan, Dongjing
    [J]. 2014 SEVENTH INTERNATIONAL JOINT CONFERENCE ON COMPUTATIONAL SCIENCES AND OPTIMIZATION (CSO), 2014, : 294 - 297
  • [42] Portfolio rebalancing with VaR as risk measure
    Xu, Chunhui
    Kijima, Kyoichi
    Wang, Jie
    Inoue, Akiya
    [J]. INTERNATIONAL JOURNAL OF INNOVATIVE COMPUTING INFORMATION AND CONTROL, 2008, 4 (09): : 2147 - 2159
  • [43] Portfolio selection under VaR constraints
    Giannopoulos, Kostas
    Clark, Ephraim
    Tunaru, Radu
    [J]. COMPUTATIONAL MANAGEMENT SCIENCE, 2005, 2 (02) : 123 - 138
  • [44] Hedging gas in a multi-frequency semiparametric CVaR portfolio
    Zivkov, Dejan
    Balaban, Suzana
    Simic, Milica
    [J]. RESEARCH IN INTERNATIONAL BUSINESS AND FINANCE, 2024, 67
  • [45] Application of copula and Copula-CVaR in the Multivariate portfolio optimization
    Bai, Manying
    Sun, Lujie
    [J]. COMBINATORICS, ALGORITHMS, PROBABILISTIC AND EXPERIMENTAL METHODOLOGIES, 2007, 4614 : 231 - +
  • [46] Responsible investing and portfolio selection: a shapley-CVaR approach
    Morelli, Giacomo
    [J]. ANNALS OF OPERATIONS RESEARCH, 2023,
  • [47] Portfolio Optimization Model Based on CVaR Programming and Limits of MAD
    Cao, Jinsheng
    [J]. PROCEEDINGS OF THE 2015 INTERNATIONAL CONFERENCE ON EDUCATION TECHNOLOGY, MANAGEMENT AND HUMANITIES SCIENCE (ETMHS 2015), 2015, 27 : 109 - 112
  • [48] Portfolio Optimization via Copula-EGARCH-CVaR Model
    Guo Wenjing
    Xu Shaoli
    [J]. RECENT ADVANCE IN STATISTICS APPLICATION AND RELATED AREAS, VOLS I AND II, 2009, : 1328 - 1335
  • [49] Optimizing portfolio selection problems under credibilistic CVaR criterion
    Liu, Naiqi
    Chen, Yanju
    Liu, Yankui
    [J]. JOURNAL OF INTELLIGENT & FUZZY SYSTEMS, 2018, 34 (01) : 335 - 347
  • [50] Multivariate approximations to portfolio return distribution
    Andrés Mora-Valencia
    Trino-Manuel Ñíguez
    Javier Perote
    [J]. Computational and Mathematical Organization Theory, 2017, 23 : 347 - 361
12345