Distortion risk measures in portfolio optimization

被引：0
|
作者：
Kopa, Milos [1 ]
Zelman, Juraj [1 ]
机构：
[1] Charles Univ Prague, Fac Math & Phys, Dept Probabil & Math Stat, Sokolovska 83, Prague 18675 8, Czech Republic
来源：
39TH INTERNATIONAL CONFERENCE ON MATHEMATICAL METHODS IN ECONOMICS (MME 2021) | 2021年
关键词：
portfolio optimization; distortion risk measure; efficient frontier; performance ratio;
D O I：
暂无
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
The paper deals with mean-risk problems where the risk is modeled by a distortion measure. This measure could be seen as a generalization of Conditional Value-at-Risk or Expected shortfall. If the associated distortion function is concave the measure is coherent. We analyze several distortion measures for different choices of a concave distortion function. First, assuming a discrete distribution of returns, we identify the efficient frontier. Then we compute the portfolio maximizing reward-risk ratio. Finally, we compare the results for various distortion measures among each other.
引用
收藏
页码：255 / 260
页数：6
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