- Tytuł:
- Performance of robust portfolio optimization in crisis periods
- Autorzy:
-
Balcilar, M.
Ozun, A. - Powiązania:
- https://bibliotekanauki.pl/articles/205665.pdf
- Data publikacji:
- 2013
- Wydawca:
- Polska Akademia Nauk. Instytut Badań Systemowych PAN
- Tematy:
-
robust control procedures
RobustRisk
portfolio optimization
Monte Carlo simulation
global crisis - Opis:
- We examin empirical performances of two alterna- tive robust optimization models, namely the worst-case conditional value-at-risk (worst-case CVaR) model and the nominal conditional value-at-risk (CVaR) model in crisis periods. Both models are based on historical value-at-risk methodology. These performances are compared by using a portfolio constructed on the basis of daily clos- ing values of different stock indices in developed markets using data from 1990 to 2013. An empirical evidence is produced with Ro- bustRisk software application. Both a Monte-Carlo simulation and an out-of-sample test show that robust optimization with worst-case CVaR model outperforms the nominal CVaR model in the crisis peri- ods. However, the trade-off between model misspecification risk and return maximization depending on the market movements should be optimized in a robust model selection.
- Źródło:
-
Control and Cybernetics; 2013, 42, 4; 855-871
0324-8569 - Pojawia się w:
- Control and Cybernetics
- Dostawca treści:
- Biblioteka Nauki
Artykuł