Hedging crash risk in optimal portfolio selection

被引：5

作者：

Zhu, Shushang ^{[1
]}

Zhu, Wei ^{[1
]}

Pei, Xi ^{[2
]}

Cui, Xueting ^{[3
]}

机构：

[1] Sun Yat Sen Univ, Sun Yat Sen Business Sch, Dept Finance & Investment, Guangzhou 510275, Peoples R China

[2] ShenZhen Polytech, Sch Business & Languages, Shenzhen 518055, Peoples R China

[3] Shanghai Univ Finance & Econ, Sch Math, Shanghai 200433, Peoples R China

来源：

JOURNAL OF BANKING & FINANCE | 2020年 / 119卷

基金：

中国国家自然科学基金;

关键词：

Crash risk; Normal risk; Hedged portfolio; Greeks; Semidefinite programming; DOWNSIDE-RISK; OPTIONS;

D O I：

10.1016/j.jbankfin.2020.105905

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

When almost all underlying assets suddenly lose a certain part of their nominal value in a market crash, the diversification effect of portfolios in a normal market condition no longer works. We integrate the crash risk into portfolio management and investigate performance measures, hedging and optimization of portfolio selection involving derivatives. A suitable convex conic programming framework based on parametric approximation method is proposed to make the problem a tractable one. Simulation analysis and empirical study are performed to test the proposed approach. (C) 2020 Elsevier B.V. All rights reserved.

引用

页数：17

共 50 条

[1] OPTIMAL PORTFOLIO CHOICE WITH CRASH AND DEFAULT RISK
Mueller, Lukas
INTERNATIONAL JOURNAL OF THEORETICAL AND APPLIED FINANCE, 2022, 25 (4-5)
[2] OPTIMAL PORTFOLIO CHOICE WITH CRASH RISK AND MODEL AMBIGUITY
Korn, Ralf
Mueller, Lukas
INTERNATIONAL JOURNAL OF THEORETICAL AND APPLIED FINANCE, 2022, 25 (01)
[3] THE PORTFOLIO SELECTION FOR A HEDGING STRATEGY
Florianova, Hana
PROCEEDINGS OF THE 7TH ECONOMICS & FINANCE CONFERENCE, 2017, : 1 - 8
[4] Internal hedging of intermittent renewable power generation and optimal portfolio selection
Lucheroni, Carlo
Mari, Carlo
ANNALS OF OPERATIONS RESEARCH, 2021, 299 (1-2) : 873 - 893
[5] Internal hedging of intermittent renewable power generation and optimal portfolio selection
Carlo Lucheroni
Carlo Mari
Annals of Operations Research, 2021, 299 : 873 - 893
[6] Optimal portfolio selection: The value at risk case
R Bramante
B Cazzaniga
Journal of Asset Management, 2000, 1 (2) : 132 - 137
[7] Optimal portfolio and consumption selection with default risk
Lijun Bo
Yongjin Wang
Xuewei Yang
Frontiers of Mathematics in China, 2012, 7 : 1019 - 1042
[8] Optimal portfolio and consumption selection with default risk
Bo, Lijun
Wang, Yongjin
Yang, Xuewei
FRONTIERS OF MATHEMATICS IN CHINA, 2012, 7 (06) : 1019 - 1042
[9] Risk forecasting models and optimal portfolio selection
Moreno, D
Marco, P
Olmeda, I
APPLIED ECONOMICS, 2005, 37 (11) : 1267 - 1281
[10] Risk measures and optimal portfolio selection.
Dhaene, J
Vanduffel, S
Tang, QH
Goovaerts, MJ
Kaas, R
Vyncke, D
INSURANCE MATHEMATICS & ECONOMICS, 2003, 33 (02): : 425 - 425

← 1 2 3 4 5 →