Output analysis and stress testing for risk constrained portfolios

Kód výsledku v 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>

Výsledek na webu

<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>

Jazyk výsledku

angličtina

Název v původním jazyce

Output analysis and stress testing for risk constrained portfolios

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

Output analysis and stress testing for risk constrained portfolios

Popis výsledku anglicky

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.

Druh

C - Kapitola v odborné knize

CEP obor

BB - Aplikovaná statistika, operační výzkum

OECD FORD obor

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Projekt

<a href="/cs/project/GBP402%2F12%2FG097" target="_blank" >GBP402/12/G097: DYME-Dynamické modely v ekonomii</a><br>

Návaznosti

I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Rok uplatnění

2015

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název knihy nebo sborníku

Quantitative Financial Risk Management: Theory and Practice

ISBN

978-1-118-73818-4

Počet stran výsledku

28

Strana od-do

98-125

Počet stran knihy

448

Název nakladatele

John Wiley &amp; Sons, Inc.

Místo vydání

Hoboken, New Jersey

Kód UT WoS kapitoly

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