منابع مشابه
Exponential Spectral Risk Measures
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This paper deals with risk measurement and portfolio optimization under risk constraints. Firstly we give an overview of risk assessment from the viewpoint of risk theory, focusing on moment-based, distortion and spectral risk measures. We subsequently apply these ideas to an asset management framework using a database of hedge funds returns chosen for their nonGaussian features. We deal with t...
متن کاملSpectral Risk Measures for Credit Portfolios
In this article, we experiment with several different risk measures such as standard deviation, value-at-risk, expected shortfall and power-law spectral measures. We consider several families of testportfolios, one with a typical market risk profit-and-loss profile, and the others containing defaultable bonds of various credit ratings and various degree of diversification. We find that the risk...
متن کاملPortfolio Optimization with Spectral Measures of Risk
We study Spectral Measures of Risk from the perspective of portfolio optimization. We derive exact results which extend to general Spectral MeasuresMφ the Pflug—Rockafellar—Uryasev methodology for the minimization of α—Expected Shortfall. The minimization problem of a spectral measure is shown to be equivalent to the minimization of a suitable function which contains additional parameters, but ...
متن کاملSpectral risk measures and portfolio selection
This paper deals with risk measurement and portfolio optimization under risk constraints. Firstly we give an overview of risk assessment from the viewpoint of risk theory, focusing on moment-based, distortion and spectral risk measures. We subsequently apply these ideas to an asset management framework using a database of hedge funds returns chosen for their nonGaussian features. We deal with t...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2007
ISSN: 1556-5068
DOI: 10.2139/ssrn.998456