Portfolio value-at-risk optimization for asymmetrically distributed asset returns

• Main Authors: GOH, Joel Weiqiang, LIM, Kian Guan, SIM, Melvyn, ZHANG, Weina
• 格式: text
• 語言: English
• 出版: Institutional Knowledge at Singapore Management University 2012
• 主題: Risk management; Asymmetric distributions; Partitioned value-at-risk; Portfolio optimization; Robust risk measures; Finance and Financial Management
• 在線閱讀: https://ink.library.smu.edu.sg/lkcsb_research/3241; https://ink.library.smu.edu.sg/context/lkcsb_research/article/4240/viewcontent/PortfolioValue_at_risk_2012_afv.pdf

We propose a new approach to portfolio optimization by separating asset return distributions into positive and negative half-spaces. The approach minimizes a newly-defined Partitioned Value-at-Risk (PVaR) risk measure by using half-space statistical information. Using simulated data, the PVaR approa...