Open Access
Portfolio selection under multiple risk measures
Chunhui Xu,Jie Wang,Akiya Inoue +2 more
- Vol. 51, Iss: 2, pp 773-781
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TLDR
In this paper, the authors considered portfolio selection problems when the investor's risk preferences are expressed with more than one risk measure, and proposed a method for solving optimization models for portfolio selection with multiple risk measures.Abstract:
The present paper considers portfolio selection problems when the investor's
risk preferences are expressed with more than one risk measure, and proposes
a method for solving optimization models for portfolio selection with multiple risk measures.
Portfolio selection experiments are conducted to show the effectiveness of
the proposed model and solution method.read more
References
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Optimization of conditional value-at-risk
R. T. Rockafellar,S Uryasev +1 more
TL;DR: In this paper, a new approach to optimize or hedging a portfolio of financial instruments to reduce risk is presented and tested on applications, which focuses on minimizing Conditional Value-at-Risk (CVaR) rather than minimizing Value at Risk (VaR), but portfolios with low CVaR necessarily have low VaR as well.
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Modern Portfolio Theory and Investment Analysis
TL;DR: The Modern Portfolio Theory as discussed by the authors examines the characteristics and analysis of individual securities as well as the theory and practice of optimally combining securities into portfolios, while presenting advanced concepts of investment analysis and portfolio management.
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Mean-absolute deviation portfolio optimization model and its applications to Tokyo stock market
Hiroshi Konno,Hiroaki Yamazaki +1 more
TL;DR: In this article, a portfolio optimization model using the L1 risk (mean absolute deviation risk) function can remove most of the difficulties associated with the classical Markowitz's model while maintaining its advantages over equilibrium models.
Journal ArticleDOI
A Minimax Portfolio Selection Rule with Linear Programming Solution
TL;DR: In this paper, the optimal portfolio is chosen that minimizes the maximum loss over all past observation periods, for a given level of return, using minimum return rather than variance as a measure of risk.
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An introduction to market risk measurement
TL;DR: In this paper, the authors present a simulation approach to estimate market risk using non-parametric VaR and ETL and a toolkit for backtesting market risk models and stress testing.