کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
10346268 | 698778 | 2013 | 9 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Mean-CVaR portfolio selection: A nonparametric estimation framework
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
مهندسی کامپیوتر
علوم کامپیوتر (عمومی)
پیش نمایش صفحه اول مقاله
چکیده انگلیسی
In this paper, we use Conditional Value-at-Risk (CVaR) to measure risk and adopt the methodology of nonparametric estimation to explore the mean-CVaR portfolio selection problem. First, we obtain the estimated calculation formula of CVaR by using the nonparametric estimation of the density of the loss function, and formulate two nonparametric mean-CVaR portfolio selection models based on two methods of bandwidth selection. Second, in both cases when short-selling is allowed and forbidden, we prove that the two nonparametric mean-CVaR models are convex optimization problems. Third, we show that when CVaR is solved for, the corresponding VaR can also be obtained as a by-product. Finally, we present a numerical example with Monte Carlo simulations to demonstrate the usefulness and effectiveness of our results, and compare our nonparametric method with the popular linear programming method.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Computers & Operations Research - Volume 40, Issue 4, April 2013, Pages 1014-1022
Journal: Computers & Operations Research - Volume 40, Issue 4, April 2013, Pages 1014-1022
نویسندگان
Haixiang Yao, Zhongfei Li, Yongzeng Lai,