Asymptotic behaviour of mean-quantile efficient portfolios

Autor:	Antony Ware, Gordana Dmitrašinović-Vidović
Rok vydání:	2006
Předmět:	Statistics and Probability Deviation risk measure Actuarial science Entropic value at risk Expected shortfall Spectral risk measure Merton's portfolio problem Coherent risk measure Economics Econometrics Statistics Probability and Uncertainty Portfolio optimization Finance Value at risk
Zdroj:	Finance and Stochastics. 10:529-551
ISSN:	1432-1122 0949-2984
DOI:	10.1007/s00780-006-0018-0
Popis:	In this paper we investigate portfolio optimization in the Black–Scholes continuous-time setting under quantile based risk measures: value at risk, capital at risk and relative value at risk. We show that the optimization results are consistent with Merton’s two-fund separation theorem, i.e., that every optimal strategy is a weighted average of the bond and Merton’s portfolio. We present optimization results for constrained portfolios with respect to these risk measures, showing for instance that under value at risk, in better markets and during longer time horizons, it is optimal to invest less into the risky assets.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::e20825647ee3995ff34404968594332d https://doi.org/10.1007/s00780-006-0018-0 Zobrazit plný text záznamu Plný text ve formátu PDF