{"title":"具有相对尾部风险的投资组合优化","authors":"Young Shin Kim, Frank J. Fabozzi","doi":"10.1007/s10479-024-06204-0","DOIUrl":null,"url":null,"abstract":"<div><p>This paper proposes analytic forms of portfolio conditional value at risk (CoVaR) and the mean of the portfolio loss conditional on it being in financial distress (CoCVaR) on the normal tempered stable market model. Since CoCVaR captures the relative risk of the portfolio with respect to a benchmark return, we apply it to relative portfolio optimization. Moreover, we derive analytic forms for the marginal contribution to CoVaR and the marginal contribution to CoCVaR. We discuss the Monte-Carlo simulation method for calculating CoCVaR and the marginal contributions of CoVaR and CoCVaR. We provide an empirical illustration to show relative portfolio optimization with 30 stocks included in the Dow Jones Industrial Average under distressed conditions. Finally, we apply the risk budgeting method to reduce the CoVaR and CoCVaR of the portfolio based on the marginal contributions to CoVaR and CoCVaR.\n</p></div>","PeriodicalId":8215,"journal":{"name":"Annals of Operations Research","volume":"341 2-3","pages":"1023 - 1055"},"PeriodicalIF":4.4000,"publicationDate":"2024-08-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Portfolio optimization with relative tail risk\",\"authors\":\"Young Shin Kim, Frank J. Fabozzi\",\"doi\":\"10.1007/s10479-024-06204-0\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"<div><p>This paper proposes analytic forms of portfolio conditional value at risk (CoVaR) and the mean of the portfolio loss conditional on it being in financial distress (CoCVaR) on the normal tempered stable market model. Since CoCVaR captures the relative risk of the portfolio with respect to a benchmark return, we apply it to relative portfolio optimization. Moreover, we derive analytic forms for the marginal contribution to CoVaR and the marginal contribution to CoCVaR. We discuss the Monte-Carlo simulation method for calculating CoCVaR and the marginal contributions of CoVaR and CoCVaR. We provide an empirical illustration to show relative portfolio optimization with 30 stocks included in the Dow Jones Industrial Average under distressed conditions. Finally, we apply the risk budgeting method to reduce the CoVaR and CoCVaR of the portfolio based on the marginal contributions to CoVaR and CoCVaR.\\n</p></div>\",\"PeriodicalId\":8215,\"journal\":{\"name\":\"Annals of Operations Research\",\"volume\":\"341 2-3\",\"pages\":\"1023 - 1055\"},\"PeriodicalIF\":4.4000,\"publicationDate\":\"2024-08-31\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Annals of Operations Research\",\"FirstCategoryId\":\"91\",\"ListUrlMain\":\"https://link.springer.com/article/10.1007/s10479-024-06204-0\",\"RegionNum\":3,\"RegionCategory\":\"管理学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q1\",\"JCRName\":\"OPERATIONS RESEARCH & MANAGEMENT SCIENCE\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Annals of Operations Research","FirstCategoryId":"91","ListUrlMain":"https://link.springer.com/article/10.1007/s10479-024-06204-0","RegionNum":3,"RegionCategory":"管理学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q1","JCRName":"OPERATIONS RESEARCH & MANAGEMENT SCIENCE","Score":null,"Total":0}
This paper proposes analytic forms of portfolio conditional value at risk (CoVaR) and the mean of the portfolio loss conditional on it being in financial distress (CoCVaR) on the normal tempered stable market model. Since CoCVaR captures the relative risk of the portfolio with respect to a benchmark return, we apply it to relative portfolio optimization. Moreover, we derive analytic forms for the marginal contribution to CoVaR and the marginal contribution to CoCVaR. We discuss the Monte-Carlo simulation method for calculating CoCVaR and the marginal contributions of CoVaR and CoCVaR. We provide an empirical illustration to show relative portfolio optimization with 30 stocks included in the Dow Jones Industrial Average under distressed conditions. Finally, we apply the risk budgeting method to reduce the CoVaR and CoCVaR of the portfolio based on the marginal contributions to CoVaR and CoCVaR.
期刊介绍：
The Annals of Operations Research publishes peer-reviewed original articles dealing with key aspects of operations research, including theory, practice, and computation. The journal publishes full-length research articles, short notes, expositions and surveys, reports on computational studies, and case studies that present new and innovative practical applications.
In addition to regular issues, the journal publishes periodic special volumes that focus on defined fields of operations research, ranging from the highly theoretical to the algorithmic and the applied. These volumes have one or more Guest Editors who are responsible for collecting the papers and overseeing the refereeing process.
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