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.
Mean-Variance Optimal Portfolio Selection with a Value-At-Risk Constraint
Mean-Variance Optimal Portfolio Selection 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 Optimal Portfolio Selection with a Value-At-Risk Constraint write by Hui Deng. This book was released on 2017-01-27. Mean-Variance Optimal Portfolio Selection with a Value-At-Risk Constraint available in PDF, EPUB and Kindle. This dissertation, "Mean-variance Optimal Portfolio Selection With a Value-at-risk Constraint" by Hui, Deng, 鄧惠, was obtained from The University of Hong Kong (Pokfulam, Hong Kong) and is being sold pursuant to Creative Commons: Attribution 3.0 Hong Kong License. The content of this dissertation has not been altered in any way. We have altered the formatting in order to facilitate the ease of printing and reading of the dissertation. All rights not granted by the above license are retained by the author. DOI: 10.5353/th_b4189721 Subjects: Risk Portfolio management - Mathematical models
Long-Short Portfolio Optimisation in the Presence of Discrete Asset Choice Constraints and Two Risk Measures
Long-Short Portfolio Optimisation in the Presence of Discrete Asset Choice Constraints and Two Risk Measures - 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 Long-Short Portfolio Optimisation in the Presence of Discrete Asset Choice Constraints and Two Risk Measures write by Ritesh Kumar. This book was released on 2008. Long-Short Portfolio Optimisation in the Presence of Discrete Asset Choice Constraints and Two Risk Measures available in PDF, EPUB and Kindle. This paper considers long-short portfolio optimization in the presence of two risk measures: variance and Conditional Value at Risk (CVaR) and asset choice constraints of (i) buy, sell and holding thresholds (ii) cardinality restrictions on the number of stocks to be held in the portfolio. The mean-variance-CVaR model improves upon the classical mean-variance model by controlling both the variance and CVaR of the resulting return distribution. Our long-short extension to the mean-variance-CVaR model incorporates many financial institutions' practices in respect of the short decisions. We highlight that introducing short selling leads to superior choice of portfolios, with higher expected return and much lower risk exposures, as characterized by CVaR and variance. We further analyze the effects of applying buy and sell thresholds and cardinality restrictions on the number of stocks. Such constraints are of practical importance but make the efficient frontier discontinuous. When stocks' returns are represented as discrete random variables, the formulation leads to a Quadratic Mixed Integer Program (QMIP). We conclude that the long-short model with cardinality constraint is superior to the long only model even without cardinality constraint. The models are tested on real data drawn from the FTSE 100 index.
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.
Mean-variance Optimal Portfolio Selection with a Value-at-risk Constraint
Mean-variance Optimal Portfolio Selection 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 Optimal Portfolio Selection with a Value-at-risk Constraint write by Hui Deng (M. Phil.). This book was released on 2009. Mean-variance Optimal Portfolio Selection with a Value-at-risk Constraint available in PDF, EPUB and Kindle.
