Optimization of performance measures based on Expected Shortfall
نویسندگان
چکیده
We explain how to optimize portfolios with respect to RORAC and RORC based on Expected Shortfall. Recent results from the theories of performance measurement and Swarm Intelligence are used for numeric optimization. We combine and correlate geometric Brownian motions for stocks with a two-factor Cox-Ingersoll-Ross (CIR-2) model for interest rates such that portfolios of bonds and stocks can be optimized. Examples for German market data as well as an analysis of the scalability of the algorithms to assure fast run-times on clusters of computers for large real-life portfolios are given. Differences between RORACand RORC-optimized portfolios are demonstrated. JEL: G11, G31
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