Robust portfolio optimization with Value-at-Risk-adjusted Sharpe ratios

Robust Mean-Conditional Value at Risk Portfolio Optimization

In ‎the ‎portfolio ‎optimization, ‎the ‎goal ‎is ‎to ‎distribute ‎the ‎ fixed capital ‎on a‎ ‎set ‎of‎investment ‎opportunities ‎to ‎maximize ‎return ‎while ‎managing ‎risk. ‎Risk ‎and ‎return ‎are ‎quantiti es ‎that ‎are ‎used ‎as ‎input ‎paramete‎rs ‎for ‎the ‎optimal ‎allocation ‎of ‎the ‎capital ‎in ‎the ‎suggested ‎models. ‎ But ‎these ‎quantities ‎are ‎not ‎known ‎at ‎the ‎time ‎of ‎the ‎...

Value-at-Risk Based Portfolio Optimization

Portfolio Optimization with Conditional Value-at-risk Objective and Constraints

Recently, a new approach for optimization of Conditional Value-at-Risk (CVaR) was suggested and tested with several applications. For continuous distributions, CVaR is defined as the expected loss exceeding Value-at Risk (VaR). However, generally, CVaR is the weighted average of VaR and losses exceeding VaR. Central to the approach is an optimization technique for calculating VaR and optimizing...

conditional copula-garch methods for value at risk of portfolio: the case of tehran stock exchange market

ارزش در معرض ریسک یکی از مهمترین معیارهای اندازه گیری ریسک در بنگاه های اقتصادی می باشد. برآورد دقیق ارزش در معرض ریسک موضوع بسیارمهمی می باشد و انحراف از آن می تواند موجب ورشکستگی و یا عدم تخصیص بهینه منابع یک بنگاه گردد. هدف اصلی این مطالعه بررسی کارایی روش copula-garch شرطی در برآورد ارزش در معرض ریسک پرتفویی متشکل از دو سهام می باشد و ارزش در معرض ریسک بدست آمده با روشهای سنتی برآورد ارزش د...

Portfolio Optimization Based on Cross Efficiencies By Linear Model of Conditional Value at Risk Minimization

Markowitz model is the first modern formulation of portfolio optimization problem. Relyingon historical return of stocks as basic information and using variance as a risk measure aretow drawbacks of this model. Since Markowitz model has been presented, many effortshave been done to remove theses drawbacks. On one hand several better risk measures havebeen introduced and proper models have been ...