Sensitivity of portfolio VaR and CVaR to portfolio return characteristics

DOI10.1007/S10479-012-1142-1MaRDI QIDQ2393347zbMATH OpenOpenAlexFDO

Authors Svetlozar T. Rachev, Frank J. Fabozzi, Stoyan V. Stoyanov

Publication date 7 August 2013

Published in Annals of Operations Research (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/10.1007/s10479-012-1142-1

zbMATH Keywords

stable distributionsvalue-at-riskconditional value-at-riskmarginal rebalancingstudent's \(t\) distribution

Mathematics Subject Classification ID

Portfolio theory (91G10)

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Cites work

• scientific article; zbMATH DE number 3947305 (Why is no real title available?)
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• Coherent measures of risk
• Computing VaR and AVaR of skewed-T distribution
• Computing the portfolio conditional value-at-risk in the \(\alpha\)-stable case
• Conditional value at risk and related linear programming models for portfolio optimization
• Fat tails, VaR and subadditivity
• Moment based approaches to Value the Risk of contingent claim portfolios
• Stable Paretian models in finance
• Stochastic models for risk estimation in volatile markets: a survey

Cited in

(18)

• scientific article; zbMATH DE number 2147773 (Why is no real title available?)
• A generalized error distribution copula-based method for portfolios risk assessment
• Portfolio optimization with relative tail risk
• Sensitivity analysis of mixed tempered stable parameters with implications in portfolio optimization
• Multi-period portfolio selection with drawdown control
• Theoretical and empirical estimates of mean-variance portfolio sensitivity
• Quantifying market risk with value-at-risk or expected shortfall? -- Consequences for capital requirements and model risk
• The effects of errors in means, variances, and correlations on the mean-variance framework
• The impact of covariance misspecification in risk-based portfolios
• Measuring financial risk and portfolio optimization with a non-Gaussian multivariate model
• Continuous-time Markov chain models to estimate the premium for extended hedge fund lockups
• On the impact of semidefinite positive correlation measures in portfolio theory
• Nearest comoment estimation with unobserved factors
• Portfolio optimization and marginal contribution to risk on multivariate normal tempered stable model
• Dynamic conditional value-at-risk model for routing and scheduling of hazardous material transportation networks
• scientific article; zbMATH DE number 5060255 (Why is no real title available?)
• Using parametric classification trees for model selection with applications to financial risk management
• Robustness of optimal portfolios under risk and stochastic dominance constraints

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• Dowd

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