Systemic Risk-Driven Portfolio Selection

DOI10.1287/opre.2021.2234zbMath1497.91229OpenAlexW4205107869MaRDI QIDQ5095162

Agostino Capponi, Alexey N. Rubtsov

Publication date: 5 August 2022

Published in: Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1287/opre.2021.2234

zbMATH Keywords

portfolio selectionrisk managementsystemic riskCoVaRVaRrisk-adjusted returns

Mathematics Subject Classification ID

Models of societies, social and urban evolution (91D10) Financial networks (including contagion, systemic risk, regulation) (91G45)

Related Items (2)

A simulation-based method for estimating systemic risk measures ⋮ Systemic risk of optioned portfolio: controllability and optimization

Cites Work

• Economic implications of using a mean-VaR model for portfolio selection: a comparison with mean-variance analysis.
• Liability Concentration and Systemic Losses in Financial Networks
• Equity Portfolio Diversification*
• Multivariate T-Distributions and Their Applications

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