Portfolio selection in the presence of systemic risk

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F14%3A86092285" target="_blank" >RIV/61989100:27510/14:86092285 - isvavai.cz</a>
Result on the web
<a href="http://dx.doi.org/10.1057/jam.2014.30" target="_blank" >http://dx.doi.org/10.1057/jam.2014.30</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1057/jam.2014.30" target="_blank" >10.1057/jam.2014.30</a>

Result language
angličtina
Original language name
Portfolio selection in the presence of systemic risk
Original language description
In this article we study the portfolio selection problem in the presence of systemic risk. We propose reward-risk measures that account for systemic risk and provide a methodology to generate realistic return scenarios. The methodology involves first analyzing the empirical behavior of several MSCI country indexes, suggesting how to approximate future scenarios. Then we examine the profitability of several strategies based on the forecasted evolution of returns. In particular, we compare the optimal sample paths of future wealth obtained by performing reward-risk portfolio optimization on simulated data and we discuss the ex-post performance of the proposed portfolio strategies.
Czech name
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Czech description
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Type
J<sub>x</sub> - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)
CEP classification
AH - Economics
OECD FORD branch
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Project
Result was created during the realization of more than one project. More information in the Projects tab.
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)<br>S - Specificky vyzkum na vysokych skolach

Publication year
2014
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

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