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Article: Optimal portfolios with stress analysis and the effect of a CVaR constraint

TitleOptimal portfolios with stress analysis and the effect of a CVaR constraint
Authors
KeywordsConditional-Value-At-Risk
Jump-Diffusion
Optimal Portfolio
Stress Testing
Issue Date2011
PublisherYokohama Publishers. The Journal's web site is located at http://www.ybook.co.jp/pjo.html
Citation
Pacific Journal Of Optimization, 2011, v. 7 n. 1, p. 83-95 How to Cite?
AbstractRisk-constrained allocation of risky assets in financial portfolios is particularly important in situations when asset returns appear to have large fluctuations. This problem is addressed here. The asset price is assumed to be driven by a Brownian motion perturbed by a compound Poisson process. This resembles a price process perturbed by an exogenous factor which may cause large movements in price. The jump size of the Poisson process and the rate of jump define, respectively, a scenario and its occurrence probability. The stress testing is conducted to evaluate the performance and assess the resilience of the portfolio subject to exceptional but major events. We examine how a conditional-value-at-risk constraint exerts an influence on the portfolio composition. © Yokohama Publishers.
Persistent Identifierhttp://hdl.handle.net/10722/155941
ISSN
2015 Impact Factor: 0.307
2015 SCImago Journal Rankings: 0.549
References

 

DC FieldValueLanguage
dc.contributor.authorLiu, JZen_US
dc.contributor.authorYiu, KFCen_US
dc.contributor.authorTeo, KLen_US
dc.date.accessioned2012-08-08T08:38:31Z-
dc.date.available2012-08-08T08:38:31Z-
dc.date.issued2011en_US
dc.identifier.citationPacific Journal Of Optimization, 2011, v. 7 n. 1, p. 83-95en_US
dc.identifier.issn1348-9151en_US
dc.identifier.urihttp://hdl.handle.net/10722/155941-
dc.description.abstractRisk-constrained allocation of risky assets in financial portfolios is particularly important in situations when asset returns appear to have large fluctuations. This problem is addressed here. The asset price is assumed to be driven by a Brownian motion perturbed by a compound Poisson process. This resembles a price process perturbed by an exogenous factor which may cause large movements in price. The jump size of the Poisson process and the rate of jump define, respectively, a scenario and its occurrence probability. The stress testing is conducted to evaluate the performance and assess the resilience of the portfolio subject to exceptional but major events. We examine how a conditional-value-at-risk constraint exerts an influence on the portfolio composition. © Yokohama Publishers.en_US
dc.languageengen_US
dc.publisherYokohama Publishers. The Journal's web site is located at http://www.ybook.co.jp/pjo.htmlen_US
dc.relation.ispartofPacific Journal of Optimizationen_US
dc.subjectConditional-Value-At-Risken_US
dc.subjectJump-Diffusionen_US
dc.subjectOptimal Portfolioen_US
dc.subjectStress Testingen_US
dc.titleOptimal portfolios with stress analysis and the effect of a CVaR constrainten_US
dc.typeArticleen_US
dc.identifier.emailYiu, KFC:cedric@hkucc.hku.hken_US
dc.identifier.authorityYiu, KFC=rp00206en_US
dc.description.naturelink_to_subscribed_fulltexten_US
dc.identifier.scopuseid_2-s2.0-79951728866en_US
dc.relation.referenceshttp://www.scopus.com/mlt/select.url?eid=2-s2.0-79951728866&selection=ref&src=s&origin=recordpageen_US
dc.identifier.volume7en_US
dc.identifier.issue1en_US
dc.identifier.spage83en_US
dc.identifier.epage95en_US
dc.publisher.placeJapanen_US
dc.identifier.scopusauthoridLiu, JZ=36986672800en_US
dc.identifier.scopusauthoridYiu, KFC=24802813000en_US
dc.identifier.scopusauthoridTeo, KL=35569785000en_US

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