The article discusses optimal portfolios with respect to downside risk in context of the multivariate normal distribution. Topics include minimizing risk for optimal solution and expected return found under assumptions such as quadratic utility function; downside risks are monotone suggesting solutions to ...
Downside risk management and VaR-based optimal portfolios for precious metals, oil and stocks Value-at-Risk (VaR) is used to analyze the market downside risk associated with investments in six key individual assets including four precious metals, oi......
As a model validation tool, the realized performance and downside risk exposure of these portfolios one month ahead is compared to that resulting from implementing a constant risk aversion parameter. The Ledoit and Wolf (2008) test provides robustness to our results and reveals the average ...
Using these superior models, VaR becomes a much more accurate measure of downside risk. More importantly Stable Expected Tail Loss (SETL) can be accurately calculated and used as a more informative risk measure for both market and credit portfolios. Along with being a superior risk measure, SET...
We find that the range of appropriate equity asset allocations in retirement is strikingly low compared with those of typical lifecycle and retirement funds now in the marketplace. In fact, for retirement portfolios whose primary goal is to mini-mize the risk of depletion and sustain withdrawals,...
cient portfolios is likely to give rise to an ine?cient strategy for optimising expected returns for ?nancial assets whilst minimising risk. It would therefore be more desirable to focus on a measure for risk that is able to incorporate any non-normality in the return distributions of ?nanci...
The Effect of Shortfall as a Risk Measure for Portfolios with Hedge Funds Current research suggests that the large downside risk in hedge fund returns disqualifies the variance as an appropriate risk measure. For example, one can... A Lucas,A Siegmann - 《Journal of Business Finance & Accounti...
This paper characterizes optimal currency hedging in several models of downside risk. We consider, in turn, three models of hedging: (i) a firm that choose... A Rui - 《Global Finance Journal》 被引量: 98发表: 2004年 Currency hedging for international stock portfolios: The usefulness of mea...
Lossaversion Prospecttheory Portfoliooptimization MV/CVaRportfolios Copula Investmentstrategy abstract Westudytheassetallocationofalinearloss-averse(LA)investorandcompareittothemoretraditional mean-variance(MV)andconditionalvalue-at-risk(CVaR)investors.Firstwederiveconditionsunder whichtheLAproblemisequivalenttotheMVan...
As can be seen, a method and apparatus according to the present invention can generate a risk-reward trade-off for any portfolio, independent of the market. The utility of the present invention is not limited to managing investment portfolios. Indeed, the techniques of the present invention ...