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A robust risk-based approach in portfolio management

Author

Listed:
  • Riccardo Cesari

    (Università di Bologna)

  • Anna Grazia Quaranta

    (Università di Bologna)

Abstract

In this paper we define and compare versions of the robust and non robust portfolio selection models based on the use, as a measure of risk, of volatility, Value at Risk and Conditional Value at Risk. This with the aim to take account of asymmetries in distribution of yields, and in profits and losses for investors. The robust CVaR approach is preferable compared with other robust and non robust models, and with respect to the risk-free portfolio and therefore can have interesting perspectives in the field of asset management.

Suggested Citation

  • Riccardo Cesari & Anna Grazia Quaranta, 2011. "A robust risk-based approach in portfolio management," BANCARIA, Bancaria Editrice, vol. 1, pages 18-31, January.
    • Handle: RePEc:ban:bancar:v:01:y:2011:m:january:p:18-31
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    File URL: http://www.bancariaeditrice.it/prodotti/vedi/prodotto/id/2443/bancaria-n-1-2011
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    More about this item

    Keywords

    selezione di portafoglio; ottimizzazione robusta; Value at Risk; Conditional Value at Risk;
    All these keywords.

    JEL classification:

    • C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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