A Var-Constrained Mean-Variance Model - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook A Var-Constrained Mean-Variance Model write by Gordon J. Alexander. This book was released on 2001. A Var-Constrained Mean-Variance Model available in PDF, EPUB and Kindle. We examine the economic implications arising from using a VaR-constrained mean-variance model for portfolio selection and for the calculation of a bank's minimum regulatory capital. Surprisingly, we show that it is plausible that when a VaR constraint is imposed, certain risk-averse agents end up selecting portfolios with larger standard deviations than they would have chosen in the absence of a VaR constraint. Therefore, regulators such as the Basle Committee for Banking Supervision should be aware that allowing a bank to use VaR to determine its minimum regulatory capital may lead to an increase in the standard deviation of the bank's portfolio.
Mean-Variance Portfolio Selection With 'At-Risk' Constraints and Discrete Distributions
Mean-Variance Portfolio Selection With 'At-Risk' Constraints and Discrete Distributions - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Mean-Variance Portfolio Selection With 'At-Risk' Constraints and Discrete Distributions write by Gordon J. Alexander. This book was released on 2008. Mean-Variance Portfolio Selection With 'At-Risk' Constraints and Discrete Distributions available in PDF, EPUB and Kindle. We examine the impact of adding either a VaR or a CVaR constraint to the mean-variance model when security returns are assumed to have a discrete distribution with finitely many jump points. Three main results are obtained. First, portfolios on the VaR-constrained boundary exhibit (K 2)-fund separation, where K is the number of states for which the portfolios suffer losses equal to the VaR bound. Second, portfolios on the CVaR-constrained boundary exhibit (K 3)-fund separation, where K is the number of states for which the portfolios suffer losses equal to their VaRs. Third, an example illustrates that while the VaR of the CVaR-constrained optimal portfolio is close to that of the VaR-constrained optimal portfolio, the CVaR of the former is notably smaller than that of the latter. This result suggests that a CVaR constraint is more effective than a VaR constraint to curtail large losses in the mean-variance model.
A Comparison of VAR and Cvar Constraints on Portfolio Selection with the Mean-Variance Model
A Comparison of VAR and Cvar Constraints on Portfolio Selection with the Mean-Variance Model - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook A Comparison of VAR and Cvar Constraints on Portfolio Selection with the Mean-Variance Model write by Gordon J. Alexander. This book was released on 2006. A Comparison of VAR and Cvar Constraints on Portfolio Selection with the Mean-Variance Model available in PDF, EPUB and Kindle. In this paper, we analyze the portfolio selection implications arising from imposing a value-at-risk (VaR) constraint on the mean-variance model, and compare them with those arising from the imposition of a conditional value-at-risk (CVaR) constraint. We show that for a given confidence level, a CVaR constraint is tighter than a VaR constraint if the CVaR and VaR bounds coincide. Consequently, a CVaR constraint is more effective than a VaR constraint as a tool to control slightly risk-averse agents, but in the absence of a risk-free security, has a perverse effect in that it is more likely to force highly risk-averse agents to select portfolios with larger standard deviations. However, when the CVaR bound is appropriately larger than the VaR bound or when a risk-free security is present, a CVaR constraint "dominates" a VaR constraint as a risk management tool.
Mean Variance Portfolio Allocation with a Value at Risk Constraint
Mean Variance Portfolio Allocation with a Value at Risk Constraint - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Mean Variance Portfolio Allocation with a Value at Risk Constraint write by Enrique Sentana. This book was released on 2001. Mean Variance Portfolio Allocation with a Value at Risk Constraint available in PDF, EPUB and Kindle.
Linear and Mixed Integer Programming for Portfolio Optimization
Linear and Mixed Integer Programming for Portfolio Optimization - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Linear and Mixed Integer Programming for Portfolio Optimization write by Renata Mansini. This book was released on 2015-06-10. Linear and Mixed Integer Programming for Portfolio Optimization available in PDF, EPUB and Kindle. This book presents solutions to the general problem of single period portfolio optimization. It introduces different linear models, arising from different performance measures, and the mixed integer linear models resulting from the introduction of real features. Other linear models, such as models for portfolio rebalancing and index tracking, are also covered. The book discusses computational issues and provides a theoretical framework, including the concepts of risk-averse preferences, stochastic dominance and coherent risk measures. The material is presented in a style that requires no background in finance or in portfolio optimization; some experience in linear and mixed integer models, however, is required. The book is thoroughly didactic, supplementing the concepts with comments and illustrative examples.
