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https://doi.org/10.1016/j.ejor.2012.03.012
Title: | Portfolio value-at-risk optimization for asymmetrically distributed asset returns | Authors: | Goh, J.W. Lim, K.G. Sim, M. Zhang, W. |
Keywords: | Asymmetric distributions Partitioned value-at-risk Portfolio optimization Risk management Robust risk measures |
Issue Date: | 2012 | Citation: | Goh, J.W., Lim, K.G., Sim, M., Zhang, W. (2012). Portfolio value-at-risk optimization for asymmetrically distributed asset returns. European Journal of Operational Research 221 (2) : 397-406. ScholarBank@NUS Repository. https://doi.org/10.1016/j.ejor.2012.03.012 | Abstract: | 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. © 2012 Elsevier B.V. All rights reserved. | Source Title: | European Journal of Operational Research | URI: | http://scholarbank.nus.edu.sg/handle/10635/44188 | ISSN: | 03772217 | DOI: | 10.1016/j.ejor.2012.03.012 |
Appears in Collections: | Staff Publications |
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