Alternative risk measures for alternative investments
| Autor: | Jean-Paul Laurent, A Chabaane, Yannick Malevergne, F Turpin |
|---|---|
| Přispěvatelé: | business school, emlyon, emlyon business school |
| Rok vydání: | 2006 |
| Předmět: |
Finance
050208 finance 021103 operations research business.industry Strategy and Management 05 social sciences 0211 other engineering and technologies 02 engineering and technology [SHS.ECO]Humanities and Social Sciences/Economics and Finance 0502 economics and business Economics [SHS.GESTION]Humanities and Social Sciences/Business administration Alternative investment [SHS.ECO] Humanities and Social Sciences/Economics and Finance [SHS.GESTION] Humanities and Social Sciences/Business administration business |
| Zdroj: | HAL The Journal of Risk The Journal of Risk, Risk.net, 2006, pp.1-32 P |
| ISSN: | 1465-1211 1755-2842 |
| DOI: | 10.21314/jor.2006.133 |
| Popis: | International audience; This paper deals with portfolio optimization under different risk constraints. We use a set of hedge funds where departures from normality are significant. We optimize the expected return under standard deviation, semivariance, value-at-risk (VAR) and expected shortfall (or CVAR) constraints. As far as the VAR is concerned, we compare different estimators. While the optimization with respect to VAR constraints appears to be difficult and lengthy, there are very fast optimization algorithms for the other risk constraints. We find that the choice of a particular VAR estimator is less discriminant than the choice of the risk constraint itself. We provide financial interpretations of the optimal portfolios associated with a decomposition of risk measures. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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