14 search results - page 1 / 3 » Optimizing portfolio tail measures: Asymptotics and efficien... |
WSC
2008
13 years 6 months ago
2008
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...
FS
2010
13 years 1 months ago
2010
Extreme losses of portfolios with heavy-tailed components are studied in the framework of multivariate regular variation. Asymptotic distributions of extreme portfolio losses are ...
WSC
2008
13 years 6 months ago
2008
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...
IMCSIT
2010
13 years 2 months ago
2010
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 ...
FS
2006
13 years 4 months ago
2006
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...