A shortcut to sign Incremental Value-at-Risk for risk allocation
نویسندگان
چکیده
Approximate Incremental Value-at-Risk formulae provide an easy-to-use preliminary guideline for risk allocation. Both the cases of risk adding and risk pooling are examined and beta-based formulae achieved. Results highlight how much the conditions for adding new risky positions are stronger than those required for risk pooling. JEL classification: C13; D81; G11; G12.
منابع مشابه
Optimal Portfolio Allocation based on two Novel Risk Measures and Genetic Algorithm
The problem of optimal portfolio selection has attracted a great attention in the finance and optimization field. The future stock price should be predicted in an acceptable precision, and a suitable model and criterion for risk and the expected return of the stock portfolio should be proposed in order to solve the optimization problem. In this paper, two new criterions for the risk of stock pr...
متن کاملUsing MODEA and MODM with Different Risk Measures for Portfolio Optimization
The purpose of this study is to develop portfolio optimization and assets allocation using our proposed models. The study is based on a non-parametric efficiency analysis tool, namely Data Envelopment Analysis (DEA). Conventional DEA models assume non-negative data for inputs and outputs. However, many of these data take the negative value, therefore we propose the MeanSharp-βRisk (MShβR) model...
متن کاملEquitable Risk Allocation in Construction Projects: Fuzzy Bargaining Game Approach
An equitable risk allocation between contracting parties plays a vital role in enhancing the performance of the project. This research presents a new quantitative risk allocation approach by integrating fuzzy logic and bargaining game theory. Owing to the imprecise and uncertain nature of players’ payoffs at different risk allocation strategies, fuzzy logic is implemented to determine the value...
متن کاملSystem Dynamics Aproach For Quantitative Risk Allocaion
Allocation of construction risks between clients and their contractors has a significant impact on the total construction costs. This paper presents a system dynamics (SD)-based approach for quantitative risk allocation. Using the proposed SD based approach, all the factors affecting the risk allocation process are modeled. The contractor’s defensive strategies against the one-sided risk alloca...
متن کاملEarly prediction of COVID-19 mortality risk based on demographic, vital sign and blood test
Background: Early prediction of the outcome situation of COVID-19 patients can decrease mortality risk by assuring efficient resource allocation and treatment planning. This study introduces a very accurate and fast system for the prediction of COVID-19 outcomes using demographic, vital signs, and laboratory blood test data. Methods: In this analytic study, which is done from May 2020 to June ...
متن کامل