Conditional value-at-risk in portfolio optimization: Coherent but fragile

被引：95

作者：

Lim, Andrew E. B. ^{[1
]}

Shanthikumar, J. George ^{[2
]}

Vahn, Gah-Yi ^{[1
]}

机构：

[1] Univ Calif Berkeley, Dept Ind Engn & Operat Res, Berkeley, CA 94720 USA

[2] Purdue Univ, Krannert Sch Management, W Lafayette, IN 47907 USA

来源：

OPERATIONS RESEARCH LETTERS | 2011年 / 39卷 / 03期

基金：

美国国家科学基金会;

关键词：

Portfolio optimization; Conditional value-at-risk; Expected shortfall; Coherent measures of risk; Mean-CVaR optimization; Mean-variance optimization;

D O I：

10.1016/j.orl.2011.03.004

中图分类号：

C93 [管理学]; O22 [运筹学];

学科分类号：

070105 ; 12 ; 1201 ; 1202 ; 120202 ;

摘要：

We evaluate conditional value-at-risk (CVaR) as a risk measure in data-driven portfolio optimization. We show that portfolios obtained by solving mean-CVaR and global minimum CVaR problems are unreliable due to estimation errors of CVaR and/or the mean, which are magnified by optimization. This problem is exacerbated when the tail of the return distribution is made heavier. We conclude that CVaR, a coherent risk measure, is fragile in portfolio optimization due to estimation errors. (C) 2011 Elsevier B.V. All rights reserved.

引用

页码：163 / 171

页数：9

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