Please use this identifier to cite or link to this item: http://hdl.handle.net/10397/26420
Title: Optimal portfolios with stress analysis and the effect of a CVaR constraint
Authors: Liu, JZ
Yiu, KFC 
Teo, KL
Keywords: Conditional-value-at-risk
Jump-diffusion
Optimal portfolio
Stress testing
Issue Date: 2011
Publisher: Yokohama Publishers
Source: Pacific journal of optimization, 2011, v. 7, no. 1, p. 83-95 How to cite?
Journal: Pacific journal of optimization 
Abstract: Risk-constrained allocation of risky assets in financial portfolios is particularly important in situations when asset returns appear to have large fluctuations. This problem is addressed here. The asset price is assumed to be driven by a Brownian motion perturbed by a compound Poisson process. This resembles a price process perturbed by an exogenous factor which may cause large movements in price. The jump size of the Poisson process and the rate of jump define, respectively, a scenario and its occurrence probability. The stress testing is conducted to evaluate the performance and assess the resilience of the portfolio subject to exceptional but major events. We examine how a conditional-value-at-risk constraint exerts an influence on the portfolio composition.
URI: http://hdl.handle.net/10397/26420
ISSN: 1348-9151
EISSN: 1349-8169
Appears in Collections:Journal/Magazine Article

Access
View full-text via PolyU eLinks SFX Query
Show full item record

SCOPUSTM   
Citations

4
Last Week
0
Last month
0
Citations as of Oct 17, 2017

WEB OF SCIENCETM
Citations

3
Last Week
0
Last month
0
Citations as of Oct 5, 2017

Page view(s)

55
Last Week
2
Last month
Checked on Oct 16, 2017

Google ScholarTM

Check



Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.