Please use this identifier to cite or link to this item:
https://doi.org/10.1016/j.ejor.2012.03.012
DC Field | Value | |
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dc.title | Portfolio value-at-risk optimization for asymmetrically distributed asset returns | |
dc.contributor.author | Goh, J.W. | |
dc.contributor.author | Lim, K.G. | |
dc.contributor.author | Sim, M. | |
dc.contributor.author | Zhang, W. | |
dc.date.accessioned | 2013-10-09T06:18:10Z | |
dc.date.available | 2013-10-09T06:18:10Z | |
dc.date.issued | 2012 | |
dc.identifier.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 | |
dc.identifier.issn | 03772217 | |
dc.identifier.uri | http://scholarbank.nus.edu.sg/handle/10635/44188 | |
dc.description.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. | |
dc.description.uri | http://libproxy1.nus.edu.sg/login?url=http://dx.doi.org/10.1016/j.ejor.2012.03.012 | |
dc.source | Scopus | |
dc.subject | Asymmetric distributions | |
dc.subject | Partitioned value-at-risk | |
dc.subject | Portfolio optimization | |
dc.subject | Risk management | |
dc.subject | Robust risk measures | |
dc.type | Article | |
dc.contributor.department | DECISION SCIENCES | |
dc.contributor.department | FINANCE | |
dc.description.doi | 10.1016/j.ejor.2012.03.012 | |
dc.description.sourcetitle | European Journal of Operational Research | |
dc.description.volume | 221 | |
dc.description.issue | 2 | |
dc.description.page | 397-406 | |
dc.description.coden | EJORD | |
dc.identifier.isiut | 000304849700013 | |
Appears in Collections: | Staff Publications |
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