Portfolio selection in the presence of systemic risk

被引：18
|
作者：
Biglova A. [1 ]
Ortobelli S. [2 ]
Fabozzi F.J. [3 ]
机构：
[1] Department of Econometrics, Statistics, and Mathematical Finance, University of Karlsruhe
[2] Department of Mathematical Finance, University of Bergamo, VSB Technical University, Ostrava
[3] Department of Finance, EDHEC Business School, EDHEC Risk Institute, 393 Promenade des Anglais, Nice Cedex
来源：
Journal of Asset Management | 2014年 / 15卷 / 5期
关键词：
heavy tails; performance measure; portfolio selection; scenario generation; skewness; systemic risk;
D O I：
10.1057/jam.2014.30
中图分类号：
学科分类号：
摘要：
In this article we study the portfolio selection problem in the presence of systemic risk. We propose reward-risk measures that account for systemic risk and provide a methodology to generate realistic return scenarios. The methodology involves first analyzing the empirical behavior of several MSCI country indexes, suggesting how to approximate future scenarios. Then we examine the profitability of several strategies based on the forecasted evolution of returns. In particular, we compare the optimal sample paths of future wealth obtained by performing reward-risk portfolio optimization on simulated data and we discuss the ex-post performance of the proposed portfolio strategies. © 2014 Macmillan Publishers Ltd.
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页码：285 / 299
页数：14
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