Maria Cristina Arcuri, Gino Gandolfi, Fabrizio Laurini
{"title":"银行基础的稳健投资组合优化:具有强制性约束的资产配置CVaR方法。","authors":"Maria Cristina Arcuri, Gino Gandolfi, Fabrizio Laurini","doi":"10.1007/s10100-022-00821-5","DOIUrl":null,"url":null,"abstract":"<p><p>This paper focuses on an innovative asset allocation strategy for risk averse investors who operate on very long-time horizons, such as endowments and the Italian foundations of banking origin (FBOs). FBOs play a pivotal role in supporting economic, financial and sustainable growth in the long term. In the search for a model which optimizes FBO portfolio choices in the light of regulatory constraints on their sizeable investable portfolio, we highlight the risk-adjusted performances obtained using a robust conditional VaR (R-CVaR) approach-assuming different risk profiles-which corrects some of the Markowitz approach pitfalls and accounts for tail risk. We compare the two models using a buy and hold strategy: the R-CVaR delivers better returns than a Markowitz portfolio, even when those performances are measured with a mean-variance metric.</p>","PeriodicalId":9689,"journal":{"name":"Central European Journal of Operations Research","volume":null,"pages":null},"PeriodicalIF":1.4000,"publicationDate":"2023-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9614752/pdf/","citationCount":"0","resultStr":"{\"title\":\"Robust portfolio optimization for banking foundations: a CVaR approach for asset allocation with mandatory constraints.\",\"authors\":\"Maria Cristina Arcuri, Gino Gandolfi, Fabrizio Laurini\",\"doi\":\"10.1007/s10100-022-00821-5\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"<p><p>This paper focuses on an innovative asset allocation strategy for risk averse investors who operate on very long-time horizons, such as endowments and the Italian foundations of banking origin (FBOs). FBOs play a pivotal role in supporting economic, financial and sustainable growth in the long term. In the search for a model which optimizes FBO portfolio choices in the light of regulatory constraints on their sizeable investable portfolio, we highlight the risk-adjusted performances obtained using a robust conditional VaR (R-CVaR) approach-assuming different risk profiles-which corrects some of the Markowitz approach pitfalls and accounts for tail risk. We compare the two models using a buy and hold strategy: the R-CVaR delivers better returns than a Markowitz portfolio, even when those performances are measured with a mean-variance metric.</p>\",\"PeriodicalId\":9689,\"journal\":{\"name\":\"Central European Journal of Operations Research\",\"volume\":null,\"pages\":null},\"PeriodicalIF\":1.4000,\"publicationDate\":\"2023-01-01\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9614752/pdf/\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Central European Journal of Operations Research\",\"FirstCategoryId\":\"91\",\"ListUrlMain\":\"https://doi.org/10.1007/s10100-022-00821-5\",\"RegionNum\":4,\"RegionCategory\":\"管理学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q3\",\"JCRName\":\"OPERATIONS RESEARCH & MANAGEMENT SCIENCE\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Central European Journal of Operations Research","FirstCategoryId":"91","ListUrlMain":"https://doi.org/10.1007/s10100-022-00821-5","RegionNum":4,"RegionCategory":"管理学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q3","JCRName":"OPERATIONS RESEARCH & MANAGEMENT SCIENCE","Score":null,"Total":0}
Robust portfolio optimization for banking foundations: a CVaR approach for asset allocation with mandatory constraints.
This paper focuses on an innovative asset allocation strategy for risk averse investors who operate on very long-time horizons, such as endowments and the Italian foundations of banking origin (FBOs). FBOs play a pivotal role in supporting economic, financial and sustainable growth in the long term. In the search for a model which optimizes FBO portfolio choices in the light of regulatory constraints on their sizeable investable portfolio, we highlight the risk-adjusted performances obtained using a robust conditional VaR (R-CVaR) approach-assuming different risk profiles-which corrects some of the Markowitz approach pitfalls and accounts for tail risk. We compare the two models using a buy and hold strategy: the R-CVaR delivers better returns than a Markowitz portfolio, even when those performances are measured with a mean-variance metric.
期刊介绍:
The Central European Journal of Operations Research provides an international readership with high quality papers that cover the theory and practice of OR and the relationship of OR methods to modern quantitative economics and business administration.
The focus is on topics such as:
- finance and banking
- measuring productivity and efficiency in the public sector
- environmental and energy issues
- computational tools for strategic decision support
- production management and logistics
- planning and scheduling
The journal publishes theoretical papers as well as application-oriented contributions and practical case studies. Occasionally, special issues feature a particular area of OR or report on the results of scientific meetings.