Interval-valued upside potential and downside risk portfolio optimisation
نویسندگان
چکیده
منابع مشابه
Fuzzy portfolio optimization under downside risk measures
This paper presents two fuzzy portfolio selection models where the objective is to minimize the downside risk constrained so that a given expected return should be achieved. We assume that the rates of returns on securities are approximated as LR-fuzzy numbers of the same shape, and that the expected return and risk are evaluated by interval-valued means. We establish the relationship between t...
متن کاملPortfolio selection with limited downside risk
A safety-first investor maximizes expected return subject to a downside risk constraint. w Arzac and Bawa Arzac, E.R., Bawa, V.S., 1977. Portfolio choice and equilibrium in capital x markets with safety-first investors. Journal of Financial Economics 4, 277–288. use the Value at Risk as the downside risk measure. The paper by Gourieroux, Laurent and Scaillet estimates the optimal safety-first p...
متن کاملKeyCredit risk, Portfolio credit risk model, Portfolio optimisation, Genetic
This paper proposes a new combination of quantitative models and Genetic Algorithms for the task of optimising credit portfolios. Currently, quantitative portfolio credit risk models are used to calculate portfolio risk figures, e. g. expected losses, unexpected losses and risk contributions. Usually, this information is used for optimising the risk-return profile of the portfolio. We show that...
متن کاملmodified standard risk assessment based on optimal capacity investment decisions and portfolio optimization (infrastructure speculation and new financial instrument)
in order to use an islamic financial instrument, this paper intends to measure and evaluate negative and positive deviations from target rate of return in investment opportunity evaluation,that leads to presenting an upside potential- adjusted risk measure. this risk measure named upside potential adjusted risk measure (alpm) is generally applicable and provides assumptions of variance, downsid...
متن کاملDownside Loss Aversion and Portfolio Management
Downside loss averse preferences have seen a resurgence in the portfolio management literature. This is due to the increasing usage of derivatives in managing equity portfolios, and the increased usage of quantitative techniques for bond portfolio management. We employ the lower partial moment as a risk measure for downside loss aversion, and compare mean-variance (M-V) and mean-lower partial m...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Economic Research-Ekonomska Istraživanja
سال: 2017
ISSN: 1331-677X,1848-9664
DOI: 10.1080/1331677x.2017.1340180