Goh, Joel
[Verfasser:in]
;
Lim, Kian-Guan
[Sonstige Person, Familie und Körperschaft];
Sim, Melvyn
[Sonstige Person, Familie und Körperschaft];
Zhang, Weina
[Sonstige Person, Familie und Körperschaft]
Portfolio Value-at-Risk Optimization for Asymmetrically Distributed Asset Returns
Anmerkungen:
In: European Journal of Operational Research, 2012, Vol 221, 397-406
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments July 22, 2012 erstellt
Beschreibung:
We propose a new approach to portfolio optimization by separating asset return distributions into positive and negative half-spaces. The approach minimizes a newly-defined Partitioned Value-at-Risk (PVaR) risk measure by using half-space statistical information. Using simulated data, the PVaR approach always generates better risk-return tradeoffs in the optimal portfolios when compared to traditional Markowitz mean-variance approach. When using real financial data, our approach also outperforms the Markowitz approach in the risk-return tradeoff. Given that the PVaR measure is also a robust risk measure, our new approach can be very useful for optimal portfolio allocations when asset return distributions are asymmetrical