恢复平均风险价值下的稳健投资组合选择

IF 1.4 4区经济学 Q3 BUSINESS, FINANCE

SIAM Journal on Financial Mathematics Pub Date : 2024-03-29 DOI:10.1137/23m1555491

Cosimo Munari, Justin Plückebaum, Stefan Weber

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引用次数: 0

摘要

SIAM 金融数学期刊》，第 15 卷第 1 期，第 295-314 页，2024 年 3 月。摘要。我们研究的是均值风险最优投资组合问题，其中风险由回收平均风险值衡量，这是回收风险度量类中的一个突出例子。我们在已知投资组合资产联合分布的情况下，以及在投资组合资产联合分布不确定且仅假定属于基准分布的一组混合物（混合物不确定性）或基准分布周围的一团云（盒状不确定性）的情况下，建立了存在结果。与传统的风险平均值比较表明，在其回收版本下的投资组合选择能使金融机构更好地控制负债的回收，同时仍能进行简便的计算。

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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Robust Portfolio Selection under Recovery Average Value at Risk

SIAM Journal on Financial Mathematics, Volume 15, Issue 1, Page 295-314, March 2024.
Abstract. We study mean-risk optimal portfolio problems where risk is measured by recovery average value at risk, a prominent example in the class of recovery risk measures. We establish existence results in the situation where the joint distribution of portfolio assets is known as well as in the situation where it is uncertain and only assumed to belong to a set of mixtures of benchmark distributions (mixture uncertainty) or to a cloud around a benchmark distribution (box uncertainty). The comparison with the classical average value at risk shows that portfolio selection under its recovery version enables financial institutions to exert better control on the recovery on liabilities while still allowing for tractable computations.

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来源期刊

SIAM Journal on Financial Mathematics MATHEMATICS, INTERDISCIPLINARY APPLICATIONS-

CiteScore

2.30

自引率

10.00%

发文量

期刊介绍： SIAM Journal on Financial Mathematics (SIFIN) addresses theoretical developments in financial mathematics as well as breakthroughs in the computational challenges they encompass. The journal provides a common platform for scholars interested in the mathematical theory of finance as well as practitioners interested in rigorous treatments of the scientific computational issues related to implementation. On the theoretical side, the journal publishes articles with demonstrable mathematical developments motivated by models of modern finance. On the computational side, it publishes articles introducing new methods and algorithms representing significant (as opposed to incremental) improvements on the existing state of affairs of modern numerical implementations of applied financial mathematics.