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» Optimizing portfolio tail measures: Asymptotics and efficien...
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WSC
2008
9 years 10 months ago
Optimizing portfolio tail measures: Asymptotics and efficient simulation optimization
We consider a portfolio allocation problem where the objective function is a tail event such as probability of large portfolio losses. The dependence between assets is captured th...
Sandeep Juneja
FS
2010
163views more  FS 2010»
9 years 5 months ago
On optimal portfolio diversification with respect to extreme risks
Extreme losses of portfolios with heavy-tailed components are studied in the framework of multivariate regular variation. Asymptotic distributions of extreme portfolio losses are ...
Georg Mainik, Ludger Rüschendorf
WSC
2008
9 years 10 months ago
Efficient tail estimation for sums of correlated lognormals
Our focus is on efficient estimation of tail probabilities of sums of correlated lognormals. This problem is motivated by the tail analysis of portfolios of assets driven by corre...
Jose Blanchet, Sandeep Juneja, Leonardo Rojas-Nand...
IMCSIT
2010
9 years 6 months ago
Efficient Portfolio Optimization with Conditional Value at Risk
The portfolio optimization problem is modeled as a mean-risk bicriteria optimization problem where the expected return is maximized and some (scalar) risk measure is minimized. In ...
Wlodzimierz Ogryczak, Tomasz Sliwinski
FS
2006
164views more  FS 2006»
9 years 8 months ago
Asymptotic behaviour of mean-quantile efficient portfolios
In this paper we investigate portfolio optimization in a Black-Scholes continuoustime setting under quantile based risk measures: value at risk, capital at risk and relative value...
Gordana Dmitrasinovic-Vidovic, Antony Ware
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