Conditional value-at-risk in portfolio optimization: Coherent but fragile

被引：90
|
作者：
Lim, Andrew E. B. [1 ]
Shanthikumar, J. George [2 ]
Vahn, Gah-Yi [1 ]
机构：
[1] Univ Calif Berkeley, Dept Ind Engn & Operat Res, Berkeley, CA 94720 USA
[2] Purdue Univ, Krannert Sch Management, W Lafayette, IN 47907 USA
来源：
OPERATIONS RESEARCH LETTERS | 2011年 / 39卷 / 03期
基金：
美国国家科学基金会;
关键词：
Portfolio optimization; Conditional value-at-risk; Expected shortfall; Coherent measures of risk; Mean-CVaR optimization; Mean-variance optimization;
D O I：
10.1016/j.orl.2011.03.004
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：
We evaluate conditional value-at-risk (CVaR) as a risk measure in data-driven portfolio optimization. We show that portfolios obtained by solving mean-CVaR and global minimum CVaR problems are unreliable due to estimation errors of CVaR and/or the mean, which are magnified by optimization. This problem is exacerbated when the tail of the return distribution is made heavier. We conclude that CVaR, a coherent risk measure, is fragile in portfolio optimization due to estimation errors. (C) 2011 Elsevier B.V. All rights reserved.
引用
收藏
页码：163 / 171
页数：9
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