期刊
MATHEMATICAL METHODS OF OPERATIONS RESEARCH
卷 69, 期 3, 页码 395-410出版社
SPRINGER HEIDELBERG
DOI: 10.1007/s00186-008-0244-7
关键词
Value-at-Risk; Optimization; Portfolio; Non-parametrics
Value-at-Risk, despite being adopted as the standard risk measure in finance, suffers severe objections from a practical point of view, due to a lack of convexity, and since it does not reward diversification (which is an essential feature in portfolio optimization). Furthermore, it is also known as having poor behavior in risk estimation (which has been justified to impose the use of parametric models, but which induces then model errors). The aim of this paper is to chose in favor or against the use of VaR but to add some more information to this discussion, especially from the estimation point of view. Here we propose a simple method not only to estimate the optimal allocation based on a Value-at-Risk minimization constraint, but also to derive-empirical-confidence intervals based on the fact that the underlying distribution is unknown, and can be estimated based on past observations.
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