Bayesian Value at Risk Metric for Equity Portfolios

2014 ◽  
Author(s):  
Eric Hendries ◽  
Jun Huang ◽  
Rachel Li ◽  
Xiao Li ◽  
Yiyang Qi ◽  
...  
Keyword(s):  
At Risk ◽  
Value At Risk ◽  
Equity Portfolios ◽  
Risk Metric

scholarly journals The mean-value at risk static portfolio optimization using genetic algorithm

2014 ◽  
Vol 11 (1) ◽  
pp. 89-109 ◽  
Author(s):  
Vladimir Rankovic ◽  
Mikica Drenovak ◽  
Boban Stojanovic ◽  
Zoran Kalinic ◽  
Zora Arsovski
Keyword(s):  
Genetic Algorithm ◽  
At Risk ◽  
Value At Risk ◽  
Computation Time ◽  
Mean Value ◽  
Portfolio Allocation ◽  
Local Optima ◽  
Coherent Risk ◽  
Portfolio Returns ◽  
Risk Metric

In this paper we solve the problem of static portfolio allocation based on historical Value at Risk (VaR) by using genetic algorithm (GA). VaR is a predominantly used measure of risk of extreme quantiles in modern finance. For estimation of historical static portfolio VaR, calculation of time series of portfolio returns is required. To avoid daily recalculations of proportion of capital invested in portfolio assets, we introduce a novel set of weight parameters based on proportion of shares. Optimal portfolio allocation in the VaR context is computationally very complex since VaR is not a coherent risk metric while number of local optima increases exponentially with the number of securities. We presented two different single-objective and a multiobjective technique for generating mean-VaR efficient frontiers. Results document good risk/reward characteristics of solution portfolios while there is a trade-off between the ability to control diversity of solutions and computation time.

Value at risk models for volatile emerging markets equity portfolios

2010 ◽  
Vol 50 (4) ◽  
pp. 515-526 ◽  
Author(s):  
Dimitris N. Dimitrakopoulos ◽  
Manolis G. Kavussanos ◽  
Spyros I. Spyrou
Keyword(s):  
At Risk ◽  
Emerging Markets ◽  
Value At Risk ◽  
Risk Models ◽  
Equity Portfolios

Asset allocation and value at risk in shipping equity portfolios

2009 ◽  
Vol 36 (1) ◽  
pp. 57-78 ◽  
Author(s):  
Theodore Syriopoulos ◽  
Efthimios Roumpis
Keyword(s):  
At Risk ◽  
Asset Allocation ◽  
Value At Risk ◽  
Equity Portfolios

Extremwerttheorie und Value-at-Risk

2015 ◽  
Vol 44 (5) ◽  
pp. 259-267
Author(s):  
Frank Schuhmacher ◽  
Benjamin R. Auer
Keyword(s):  
At Risk ◽  
Value At Risk

Value at Risk

Controlling ◽  
2004 ◽  
Vol 16 (7) ◽  
pp. 425-426
Author(s):  
Mischa Seiter ◽  
Sven Eckert
Keyword(s):  
At Risk ◽  
Value At Risk

Stress Testing in a Value at Risk Framework

CFA Digest ◽  
1999 ◽  
Vol 29 (2) ◽  
pp. 76-78
Author(s):  
Thomas J. Latta
Keyword(s):  
At Risk ◽  
Value At Risk ◽  
Stress Testing ◽  
A Value ◽  
Risk Framework

Value at Risk

2007 ◽  
Author(s):  
Arndt P. Funken ◽  
Alexander Obeid
Keyword(s):  
At Risk ◽  
Value At Risk
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