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Article: Optimal portfolios with stress analysis and the effect of a CVaR constraint
Title | Optimal portfolios with stress analysis and the effect of a CVaR constraint |
---|---|
Authors | |
Keywords | Conditional-Value-At-Risk Jump-Diffusion Optimal Portfolio Stress Testing |
Issue Date | 2011 |
Publisher | Yokohama 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? |
Abstract | Risk-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 Identifier | http://hdl.handle.net/10722/155941 |
ISSN | 2023 Impact Factor: 0.4 |
References |
DC Field | Value | Language |
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dc.contributor.author | Liu, JZ | en_US |
dc.contributor.author | Yiu, KFC | en_US |
dc.contributor.author | Teo, KL | en_US |
dc.date.accessioned | 2012-08-08T08:38:31Z | - |
dc.date.available | 2012-08-08T08:38:31Z | - |
dc.date.issued | 2011 | en_US |
dc.identifier.citation | Pacific Journal Of Optimization, 2011, v. 7 n. 1, p. 83-95 | en_US |
dc.identifier.issn | 1348-9151 | en_US |
dc.identifier.uri | http://hdl.handle.net/10722/155941 | - |
dc.description.abstract | Risk-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.language | eng | en_US |
dc.publisher | Yokohama Publishers. The Journal's web site is located at http://www.ybook.co.jp/pjo.html | en_US |
dc.relation.ispartof | Pacific Journal of Optimization | en_US |
dc.subject | Conditional-Value-At-Risk | en_US |
dc.subject | Jump-Diffusion | en_US |
dc.subject | Optimal Portfolio | en_US |
dc.subject | Stress Testing | en_US |
dc.title | Optimal portfolios with stress analysis and the effect of a CVaR constraint | en_US |
dc.type | Article | en_US |
dc.identifier.email | Yiu, KFC:cedric@hkucc.hku.hk | en_US |
dc.identifier.authority | Yiu, KFC=rp00206 | en_US |
dc.description.nature | link_to_subscribed_fulltext | en_US |
dc.identifier.scopus | eid_2-s2.0-79951728866 | en_US |
dc.relation.references | http://www.scopus.com/mlt/select.url?eid=2-s2.0-79951728866&selection=ref&src=s&origin=recordpage | en_US |
dc.identifier.volume | 7 | en_US |
dc.identifier.issue | 1 | en_US |
dc.identifier.spage | 83 | en_US |
dc.identifier.epage | 95 | en_US |
dc.publisher.place | Japan | en_US |
dc.identifier.scopusauthorid | Liu, JZ=36986672800 | en_US |
dc.identifier.scopusauthorid | Yiu, KFC=24802813000 | en_US |
dc.identifier.scopusauthorid | Teo, KL=35569785000 | en_US |
dc.identifier.issnl | 1348-9151 | - |