## Risk measures and their applications in asset management
Birbil, Ş. İlker and Frenk, J.B.G. and Kaynar, Bahar and Noyan, Nilay (2009)
## AbstractSeveral approaches exist to model decision making under risk, where risk can be broadly defined as the effect of variability of random outcomes. One of the main approaches in the practice of decision making under risk uses mean-risk models; one such well-known is the classical Markowitz model, where variance is used as risk measure. Along this line, we consider a portfolio selection problem, where the asset returns have an elliptical distribution. We mainly focus on portfolio optimization models constructing portfolios with minimal risk, provided that a prescribed expected return level is attained. In particular, we model the risk by using Value-at-Risk (VaR) and Conditional Value-at-Risk (CVaR). After reviewing the main properties of VaR and CVaR, we present short proofs to some of the well-known results. Finally, we describe a computationally efficient solution algorithm and present numerical results.
## Available Versions of this Item- Risk measures and their applications in portfolio optimization. (deposited 07 Nov 2008 16:50)
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- Risk measures and their applications in asset management. (deposited 20 Nov 2009 10:14)
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