Hedging crash risk in optimal portfolio selection

被引：5

作者：

Zhu, Shushang ^{[1
]}

Zhu, Wei ^{[1
]}

Pei, Xi ^{[2
]}

Cui, Xueting ^{[3
]}

机构：

[1] Sun Yat Sen Univ, Sun Yat Sen Business Sch, Dept Finance & Investment, Guangzhou 510275, Peoples R China

[2] ShenZhen Polytech, Sch Business & Languages, Shenzhen 518055, Peoples R China

[3] Shanghai Univ Finance & Econ, Sch Math, Shanghai 200433, Peoples R China

来源：

JOURNAL OF BANKING & FINANCE | 2020年 / 119卷

基金：

中国国家自然科学基金;

关键词：

Crash risk; Normal risk; Hedged portfolio; Greeks; Semidefinite programming; DOWNSIDE-RISK; OPTIONS;

D O I：

10.1016/j.jbankfin.2020.105905

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

When almost all underlying assets suddenly lose a certain part of their nominal value in a market crash, the diversification effect of portfolios in a normal market condition no longer works. We integrate the crash risk into portfolio management and investigate performance measures, hedging and optimization of portfolio selection involving derivatives. A suitable convex conic programming framework based on parametric approximation method is proposed to make the problem a tractable one. Simulation analysis and empirical study are performed to test the proposed approach. (C) 2020 Elsevier B.V. All rights reserved.

引用

页数：17

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