Nested Conditional Value-at-Risk portfolio selection: A model with temporal dependence driven by market-index volatility

2020 ◽  
Vol 280 (2) ◽  
pp. 741-753 ◽  
Author(s):  
Alessandro Staino ◽  
Emilio Russo
Keyword(s):  
At Risk ◽  
Portfolio Selection ◽  
Value At Risk ◽  
Conditional Value At Risk ◽  
Temporal Dependence ◽  
Market Index

Systemic Risk-Driven Portfolio Selection

2022 ◽  
Author(s):  
Agostino Capponi ◽  
Alexey Rubtsov
Keyword(s):  
At Risk ◽  
Portfolio Selection ◽  
Systemic Risk ◽  
Value At Risk ◽  
Global Financial Crisis ◽  
Risk Measures ◽  
Conditional Value At Risk ◽  
The Face ◽  
Financial Index ◽  
The Global Financial Crisis

How can we construct portfolios that perform well in the face of systemic events? The global financial crisis of 2007–2008 and the coronavirus disease 2019 pandemic have highlighted the importance of accounting for extreme form of risks. In “Systemic Risk-Driven Portfolio Selection,” Capponi and Rubtsov investigate the design of portfolios that trade off tail risk and expected growth of the investment. The authors show how two well-known risk measures, the value-at-risk and the conditional value-at-risk, can be used to construct portfolios that perform well in the face of systemic events. The paper uses U.S. stock data from the S&P500 Financials Index and Canadian stock data from the S&P/TSX Capped Financial Index, and it demonstrates that portfolios accounting for systemic risk attain higher risk-adjusted expected returns, compared with well-known benchmark portfolio criteria, during times of market downturn.

A random-fuzzy portfolio selection DEA model using value-at-risk and conditional value-at-risk

2020 ◽  
Vol 24 (22) ◽  
pp. 17167-17186 ◽  
Author(s):  
Rashed Khanjani Shiraz ◽  
Madjid Tavana ◽  
Hirofumi Fukuyama
Keyword(s):  
At Risk ◽  
Portfolio Selection ◽  
Value At Risk ◽  
Conditional Value At Risk ◽  
Dea Model ◽  
Fuzzy Portfolio Selection

scholarly journals Cryptocurrency Portfolio Selection—A Multicriteria Approach

Mathematics ◽  
2021 ◽  
Vol 9 (14) ◽  
pp. 1677
Author(s):  
Zdravka Aljinović ◽  
Branka Marasović ◽  
Tea Šestanović
Keyword(s):  
At Risk ◽  
Standard Deviation ◽  
Portfolio Selection ◽  
Value At Risk ◽  
Selection Process ◽  
Efficient Frontier ◽  
Conditional Value At Risk ◽  
Optimal Portfolios ◽  
Promethee Ii ◽  
Proposed Model

This paper proposes the PROMETHEE II based multicriteria approach for cryptocurrency portfolio selection. Such an approach allows considering a number of variables important for cryptocurrencies rather than limiting them to the commonly employed return and risk. The proposed multiobjective decision making model gives the best cryptocurrency portfolio considering the daily return, standard deviation, value-at-risk, conditional value-at-risk, volume, market capitalization and attractiveness of nine cryptocurrencies from January 2017 to February 2020. The optimal portfolios are calculated at the first of each month by taking the previous 6 months of daily data for the calculations yielding with 32 optimal portfolios in 32 successive months. The out-of-sample performances of the proposed model are compared with five commonly used optimal portfolio models, i.e., naïve portfolio, two mean-variance models (in the middle and at the end of the efficient frontier), maximum Sharpe ratio and the middle of the mean-CVaR (conditional value-at-risk) efficient frontier, based on the average return, standard deviation and VaR (value-at-risk) of the returns in the next 30 days and the return in the next trading day for all portfolios on 32 dates. The proposed model wins against all other models according to all observed indicators, with the winnings spanning from 50% up to 94%, proving the benefits of employing more criteria and the appropriate multicriteria approach in the cryptocurrency portfolio selection process.

Robust optimization of conditional value at risk and portfolio selection

2008 ◽  
Vol 32 (10) ◽  
pp. 2046-2056 ◽  
Author(s):  
Anna Grazia Quaranta ◽  
Alberto Zaffaroni
Keyword(s):  
At Risk ◽  
Robust Optimization ◽  
Portfolio Selection ◽  
Value At Risk ◽  
Conditional Value At Risk
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