کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5090668 | 1375641 | 2008 | 7 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Two-sided coherent risk measures and their application in realistic portfolio optimization
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کلمات کلیدی
G31C61D81G11 - G11Market frictions - اصطلاحات بازارCoherent risk measures - اقدامات ریسکی منسجمPortfolio optimization - بهینهسازی سبد سرمایهگذاری، بهینه سازی پورتفولیو Finance - فاینانسRisk management - مدیریت ریسکConditional Value-at-Risk - مشروط به ارزش در معرض خطرPerformance ratios - نسبت کارایی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
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چکیده انگلیسی
By using a different derivation scheme, a new class of two-sided coherent risk measures is constructed in this paper. Different from existing coherent risk measures, both positive and negative deviations from the expected return are considered in the new measure simultaneously but differently. This innovation makes it easy to reasonably describe and control the asymmetry and fat-tail characteristics of the loss distribution and to properly reflect the investor's risk attitude. With its easy computation of the new risk measure, a realistic portfolio selection model is established by taking into account typical market frictions such as taxes, transaction costs, and value constraints. Empirical results demonstrate that our new portfolio selection model can not only suitably reflect the impact of different trading constraints, but find more robust optimal portfolios, which are better than the optimal portfolio obtained under the conditional value-at-risk measure in terms of diversification and typical performance ratios.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Banking & Finance - Volume 32, Issue 12, December 2008, Pages 2667-2673
Journal: Journal of Banking & Finance - Volume 32, Issue 12, December 2008, Pages 2667-2673
نویسندگان
Zhiping Chen, Yi Wang,