Systemic risk-driven portfolio selection

DOI10.1287/OPRE.2021.2234MaRDI QIDQ5095162zbMATH OpenOpenAlexFDO

Authors Agostino Capponi, A. 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

CoVaRportfolio selectionrisk managementrisk-adjusted returnssystemic riskVaR

Mathematics Subject Classification ID

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

Recommendations

• COHERENT PORTFOLIO SEPARATION — INHERENT SYSTEMIC RISK?
• On peculiarities of CoVaR-based portfolio selection
• Optimal portfolio choice in the presence of domestic systemic risk: Empirical evidence from stock markets
• Insights to systematic risk and diversification across a joint probability distribution
• Portfolio selection with the effect of systematic risk diversification: formulation and accelerated gradient algorithm

Cites work

• Economic implications of using a mean-VaR model for portfolio selection: a comparison with mean-variance analysis.
• Equity Portfolio Diversification*
• Liability concentration and systemic losses in financial networks
• Multivariate T-Distributions and Their Applications

Cited in

(14)

• Systemic risk of portfolio diversification
• Un-diversifying during crises: is it a good idea?
• Systemic risk tradeoffs and option prices
• Asset allocation and asset pricing in the face of systemic risk: a literature overview and assessment
• COHERENT PORTFOLIO SEPARATION — INHERENT SYSTEMIC RISK?
• Market efficient portfolios in a systemic economy
• A simulation-based method for estimating systemic risk measures
• Systemic risk of optioned portfolio: controllability and optimization
• Optimal portfolio choice in the presence of domestic systemic risk: Empirical evidence from stock markets
• Portfolio optimization with relative tail risk
• Statistical inference for systemic risk-driven portfolio selection
• A simplified condition for quantile regression
• The conditional higher moment risk measure for extreme risks
• Asymptotics of CoVaR inference in two-quantile-regression

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