کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5091613 | 1375693 | 2006 | 23 صفحه PDF | دانلود رایگان |
![عکس صفحه اول مقاله: Minimizing CVaR and VaR for a portfolio of derivatives Minimizing CVaR and VaR for a portfolio of derivatives](/preview/png/5091613.png)
Value at risk (VaR) and conditional value at risk (CVaR) are frequently used as risk measures in risk management. Compared to VaR, CVaR is attractive since it is a coherent risk measure. We analyze the problem of computing the optimal VaR and CVaR portfolios. We illustrate that VaR and CVaR minimization problems for derivatives portfolios are typically ill-posed. We propose to include cost as an additional preference criterion for the CVaR optimization problem. We demonstrate that, with the addition of a proportional cost, it is possible to compute an optimal CVaR derivative investment portfolio with significantly fewer instruments and comparable CVaR and VaR. A computational method based on a smoothing technique is proposed to solve a simulation based CVaR optimization problem efficiently. Comparison is made with the linear programming approach for solving the simulation based CVaR optimization problem.
Journal: Journal of Banking & Finance - Volume 30, Issue 2, February 2006, Pages 583-605