Optimal portfolio selection in a Value-at-Risk framework

被引:209
作者
Campbell, R [1 ]
Huisman, R [1 ]
Koedijk, K [1 ]
机构
[1] Erasmus Univ, Dept Business Adm & Financial Management, NL-3000 DR Rotterdam, Netherlands
关键词
optimal portfolio selection; value-at-risk estimation; non-normalities; time horizons;
D O I
10.1016/S0378-4266(00)00160-6
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
In this paper, we develop a portfolio selection model which allocates financial assets by maximising expected return subject to the constraint that the expected maximum loss should meet the Value-at-Risk limits set by the risk manager. Similar to the mean-variance approach a performance index like the Sharpe index is constructed. Furthermore when expected returns are assumed to be normally distributed we show that the model provides almost identical results to the mean-variance approach. We provide an empirical analysis using two risky assets: US stocks and bonds. The results highlight the influence of both non-normal characteristics of the expected return distribution and the length of investment time horizon on the optimal portfolio selection. (C) 2001 Elsevier Science B.V. All rights reserved.
引用
收藏
页码:1789 / 1804
页数:16
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