Aggregation of downside risk and portfolio selection

IF 0.7 4区 经济学 Q3 ECONOMICS
Conrad Spanaus, Jan Wenzelburger
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引用次数: 0

Abstract

This article refines Markowitz’s classical portfolio theory by replacing standard deviation with a below-target deviation measure referred to as downside risk, in which only returns below the safe return of the market contribute to the quantification of risk. Downside risk is economically intuitive but neither a general deviation nor a coherent risk measure. We establish the existence and uniqueness of downside-efficient portfolios that aggregate the downside risks of finitely many assets. The tractability of downside-efficient portfolios allows for a risk analysis that parallels the classical mean–variance analysis. We show that all central tenets carry over if standard deviation is substituted with downside risk. A numerical example illustrates when downside-efficient portfolios outperform mean–variance efficient portfolios.
下行风险汇总和投资组合选择
本文改进了马科维茨的经典投资组合理论,将标准差替换为低于目标的偏差度量,即下行风险,其中只有低于市场安全收益的回报才有助于风险的量化。下行风险在经济上是直观的,但既不是一般的偏差,也不是连贯的风险度量。我们建立了集合有限多个资产的下行风险的下行有效投资组合的存在性和唯一性。下行效率投资组合的可追溯性允许进行与经典均值方差分析相似的风险分析。我们表明,如果用下行风险代替标准差,所有的中心原则都将延续下去。一个数值例子说明了下行效率投资组合何时优于均值方差效率投资组合。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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来源期刊
Journal of Mathematical Economics
Journal of Mathematical Economics 管理科学-数学跨学科应用
CiteScore
1.70
自引率
7.70%
发文量
73
审稿时长
12.5 weeks
期刊介绍: The primary objective of the Journal is to provide a forum for work in economic theory which expresses economic ideas using formal mathematical reasoning. For work to add to this primary objective, it is not sufficient that the mathematical reasoning be new and correct. The work must have real economic content. The economic ideas must be interesting and important. These ideas may pertain to any field of economics or any school of economic thought.
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