A Robust Risk-Based Approach in Portfolio Management
Posted: 18 Mar 2011
Date Written: February 1, 2011
Abstract
In this paper we define and compare versions of the robust and non robust portfolio selection models based on the use, as a measure of risk, of volatility, Value at Risk and Conditional Value at Risk. This with the aim to take account of asymmetries in distribution of yields, and in profits and losses for investors. The robust CVaR approach is preferable compared with other robust and non robust models, and with respect to the risk-free portfolio and therefore can have interesting perspectives in the field of asset management.
Keywords: Portfolio management, Optimization, VaR, CVaR
JEL Classification: C61, G11
Suggested Citation: Suggested Citation
Cesari, Riccardo and Quaranta, Annagrazia, A Robust Risk-Based Approach in Portfolio Management (February 1, 2011). Bancaria No. 01-2011, Available at SSRN: https://ssrn.com/abstract=1785664
Feedback
Feedback to SSRN
If you need immediate assistance, call 877-SSRNHelp (877 777 6435) in the United States, or +1 212 448 2500 outside of the United States, 8:30AM to 6:00PM U.S. Eastern, Monday - Friday.