TY - JOUR
T1 - Sensitivity of portfolio VaR and CVaR to portfolio return characteristics
AU - Stoyanov, Stoyan V.
AU - Rachev, Svetlozar T.
AU - Fabozzi, Frank J.
N1 - Funding Information:
Rachev gratefully acknowledges research support by grants from the Deutschen Forschungsgemeinschaft and the Deutscher Akademischer Austausch Dienst.
PY - 2013/5
Y1 - 2013/5
N2 - Risk management through marginal rebalancing is important for institutional investors due to the size of their portfolios. We consider the problem of improving marginally portfolio VaR and CVaR through a marginal change in the portfolio return characteristics. We study the relative significance of standard deviation, mean, tail thickness, and skewness in a parametric setting assuming a Student's t or a stable distribution for portfolio returns. We also carry out an empirical study with the constituents of DAX30, CAC40, and SMI. Our analysis leads to practical implications for institutional investors and regulators.
AB - Risk management through marginal rebalancing is important for institutional investors due to the size of their portfolios. We consider the problem of improving marginally portfolio VaR and CVaR through a marginal change in the portfolio return characteristics. We study the relative significance of standard deviation, mean, tail thickness, and skewness in a parametric setting assuming a Student's t or a stable distribution for portfolio returns. We also carry out an empirical study with the constituents of DAX30, CAC40, and SMI. Our analysis leads to practical implications for institutional investors and regulators.
KW - Conditional value-at-risk
KW - Marginal rebalancing
KW - Stable distributions
KW - Student's t distribution
KW - Value-at-risk
UR - http://www.scopus.com/inward/record.url?scp=84876177581&partnerID=8YFLogxK
U2 - 10.1007/s10479-012-1142-1
DO - 10.1007/s10479-012-1142-1
M3 - Article
AN - SCOPUS:84876177581
SN - 0254-5330
VL - 205
SP - 169
EP - 187
JO - Annals of Operations Research
JF - Annals of Operations Research
IS - 1
ER -