Optimal portfolios with stress analysis and the effect of a CVAR constraint
Risk-constrained allocation of risky assets in financial portfolios is particularly important in situations when asset returns appear to have large fluctuations. This problem is addressed here. The asset price is assumed to be driven by a Brownian motion perturbed by a compound Poisson process. This...
| Main Authors: | , , |
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| Format: | Journal Article |
| Published: |
Yokohama Publishers
2011
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| Online Access: | http://hdl.handle.net/20.500.11937/9430 |
| _version_ | 1848745947910111232 |
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| author | Liu, J. Yiu, Ka Fai Teo, Kok Lay |
| author_facet | Liu, J. Yiu, Ka Fai Teo, Kok Lay |
| author_sort | Liu, J. |
| building | Curtin Institutional Repository |
| collection | Online Access |
| description | Risk-constrained allocation of risky assets in financial portfolios is particularly important in situations when asset returns appear to have large fluctuations. This problem is addressed here. The asset price is assumed to be driven by a Brownian motion perturbed by a compound Poisson process. This resembles a price process perturbed by an exogenous factor which may cause large movements in price. The jump size of the Poisson process and the rate of jump define, respectively, a scenario and its occurrence probability. The stress testing is conducted to evaluate the performance and assess the resilience of the portfolio subject to exceptional but major events. We examine how a conditional-value- at-risk constraint exerts an influence on the portfolio composition. |
| first_indexed | 2025-11-14T06:25:28Z |
| format | Journal Article |
| id | curtin-20.500.11937-9430 |
| institution | Curtin University Malaysia |
| institution_category | Local University |
| last_indexed | 2025-11-14T06:25:28Z |
| publishDate | 2011 |
| publisher | Yokohama Publishers |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | curtin-20.500.11937-94302017-01-30T11:12:36Z Optimal portfolios with stress analysis and the effect of a CVAR constraint Liu, J. Yiu, Ka Fai Teo, Kok Lay Risk-constrained allocation of risky assets in financial portfolios is particularly important in situations when asset returns appear to have large fluctuations. This problem is addressed here. The asset price is assumed to be driven by a Brownian motion perturbed by a compound Poisson process. This resembles a price process perturbed by an exogenous factor which may cause large movements in price. The jump size of the Poisson process and the rate of jump define, respectively, a scenario and its occurrence probability. The stress testing is conducted to evaluate the performance and assess the resilience of the portfolio subject to exceptional but major events. We examine how a conditional-value- at-risk constraint exerts an influence on the portfolio composition. 2011 Journal Article http://hdl.handle.net/20.500.11937/9430 Yokohama Publishers restricted |
| spellingShingle | Liu, J. Yiu, Ka Fai Teo, Kok Lay Optimal portfolios with stress analysis and the effect of a CVAR constraint |
| title | Optimal portfolios with stress analysis and the effect of a CVAR constraint |
| title_full | Optimal portfolios with stress analysis and the effect of a CVAR constraint |
| title_fullStr | Optimal portfolios with stress analysis and the effect of a CVAR constraint |
| title_full_unstemmed | Optimal portfolios with stress analysis and the effect of a CVAR constraint |
| title_short | Optimal portfolios with stress analysis and the effect of a CVAR constraint |
| title_sort | optimal portfolios with stress analysis and the effect of a cvar constraint |
| url | http://hdl.handle.net/20.500.11937/9430 |