Robust value-at-risk: an information-theoretic approach

被引：3

作者：

Simonian, Joseph ^{[1
]}

Davis, Josh ^{[1
]}

机构：

[1] PIMCO, Newport Beach, CA 92660 USA

来源：

APPLIED ECONOMICS LETTERS | 2010年 / 17卷 / 16期

关键词：

D O I：

10.1080/13504850903085019

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

We present a robust value-at-risk model that takes into account the possibility of model misspecification. In place of a single prior distribution, we utilize multiple priors in the form of an 'uncertainty set' around the estimated expected returns and covariance matrix, constructed using the information-theoretic notion of Kullback-Leibler divergence. An extension to conditional value-at-risk is also specified.

引用

页码：1551 / 1553

页数：3

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