کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
480746 1445989 2016 11 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Inverse portfolio problem with coherent risk measures
ترجمه فارسی عنوان
مشکل نمونه برداری معکوس با اقدامات ریسکی منسجم
کلمات کلیدی
تصمیم گیری در معرض خطر، اندازه گیری ریسک منسجم، بهینه سازی نمونه کارها، مشکل نمونه برداری معکوس
موضوعات مرتبط
مهندسی و علوم پایه مهندسی کامپیوتر علوم کامپیوتر (عمومی)
چکیده انگلیسی


• An inverse portfolio problem finds a coherent risk measure for a given optimal portfolio.
• Necessary and sufficient conditions for the existence of such a risk measure are obtained.
• A risk envelope characterization of an optimal solution is presented.
• If the exact solution do not exists, an approximate one in the form of a mixed CVaRs is found.

In general, a portfolio problem minimizes risk (or negative utility) of a portfolio of financial assets with respect to portfolio weights subject to a budget constraint. The inverse portfolio problem then arises when an investor assumes that his/her risk preferences have a numerical representation in the form of a certain class of functionals, e.g. in the form of expected utility, coherent risk measure or mean-deviation functional, and aims to identify such a functional, whose minimization results in a portfolio, e.g. a market index, that he/she is most satisfied with. In this work, the portfolio risk is determined by a coherent risk measure, and the rate of return of investor’s preferred portfolio is assumed to be known. The inverse portfolio problem then recovers investor’s coherent risk measure either through finding a convex set of feasible probability measures (risk envelope) or in the form of either mixed CVaR or negative Yaari’s dual utility. It is solved in single-period and multi-period formulations and is demonstrated in a case study with the FTSE 100 index.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: European Journal of Operational Research - Volume 249, Issue 2, 1 March 2016, Pages 740–750
نویسندگان
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