Output analysis and stress testing for risk constrained portfolios
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11320%2F15%3A10313820" target="_blank" >RIV/00216208:11320/15:10313820 - isvavai.cz</a>
Result on the web
<a href="http://onlinelibrary.wiley.com/doi/10.1002/9781119080305.ch5/summary" target="_blank" >http://onlinelibrary.wiley.com/doi/10.1002/9781119080305.ch5/summary</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1002/9781119080305.ch5" target="_blank" >10.1002/9781119080305.ch5</a>
Alternative languages
Result language
angličtina
Original language name
Output analysis and stress testing for risk constrained portfolios
Original language description
Solutions of portfolio selection problems are often influenced by the model misspecification and simplifications, or by errors due to approximations, estimations, and incomplete information. The obtained optimal investment strategies, recommendations forthe risk and portfolio manager, should be then carefully analyzed. We shall deal with output analysis, robustness, and stress testing with respect to uncertainty or perturbations of input data for static risk constrained portfolio optimization problemsvia the contamination technique and the worst-case analysis. We shall focus on the mean-risk models and the second-order stochastic dominance constrained problems under suitable smoothness and/or convexity assumptions that are fulfilled, for example, forthe Markowitz mean-variance model. The presented detailed numerical illustrations concern stress testing for scenario-based mean-risk problems with the CVaR objective or CVaR constraints.
Czech name
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Czech description
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Classification
Type
C - Chapter in a specialist book
CEP classification
BB - Applied statistics, operational research
OECD FORD branch
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Result continuities
Project
<a href="/en/project/GBP402%2F12%2FG097" target="_blank" >GBP402/12/G097: DYME-Dynamic Models in Economics</a><br>
Continuities
I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace
Others
Publication year
2015
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Book/collection name
Quantitative Financial Risk Management: Theory and Practice
ISBN
978-1-118-73818-4
Number of pages of the result
28
Pages from-to
98-125
Number of pages of the book
448
Publisher name
John Wiley & Sons, Inc.
Place of publication
Hoboken, New Jersey
UT code for WoS chapter
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