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VaR-limitrendszer melletti hozammaximalizálás: a kaszinóhatás
[Maximizing yield against a VaR limit system: the casino effect]

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  • Walter, György

Abstract

A kockáztatott érték (VaR) elterjedésével felmerült az igény, hogy az új eszközt a portfóliókezelők ne csak kockázatelemzésre, hanem a gyakorlatban a vagyonkezelői limitrendszerekben is alkalmazzák, amelyet egy portfóliókezelőnek időről időre be kell tartania. A szakirodalom és az általánosan elfogadott elméletek egy része szerint, ha a portfóliólimiteket kockáztatott értéken (VaR) adják meg, akkor ez az eddig alkalmazott limitrendszerekhez képest - az esetleges számítási nehézségek, pontatlanságok figyelembevételével is - több jelentős előnnyel jár. A VaR gyakorlati alkalmazása során azonban számos probléma adódik. A szerző nem foglalkozik a VaR számítási, becslési hibáival. Azt mutatja be, hogy ha a VaR-számítás módja megfelelő, a valóságos folyamatokat jól tükrözi is, a VaR-alapú limitrendszerek körültekintés nélküli alkalmazásával rendkívül szélsőséges befektetési stratégia alakulhat ki, amely az eredeti befektetői szándékoknak már nem felel meg.

Suggested Citation

  • Walter, György, 2002. "VaR-limitrendszer melletti hozammaximalizálás: a kaszinóhatás [Maximizing yield against a VaR limit system: the casino effect]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(3), pages 212-234.
    • Handle: RePEc:ksa:szemle:472
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    References listed on IDEAS

    as
    1. Jensen, Michael C. & Meckling, William H., 1976. "Theory of the firm: Managerial behavior, agency costs and ownership structure," Journal of Financial Economics, Elsevier, vol. 3(4), pages 305-360, October.
    2. Philip H. Dybvig, 1988. "Inefficient Dynamic Portfolio Strategies or How to Throw Away a Million Dollars in the Stock Market," The Review of Financial Studies, Society for Financial Studies, vol. 1(1), pages 67-88.
    3. Banz, Rolf W & Miller, Merton H, 1978. "Prices for State-contingent Claims: Some Estimates and Applications," The Journal of Business, University of Chicago Press, vol. 51(4), pages 653-672, October.
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    Cited by:

    1. Rácz, Dávid Andor, 2019. "Abszolút hozamú befektetési alapok teljesítményének értékelése - a teljesítménymanipulálás kimutatása [Performance evaluation of absolute return funds - Detecting performance manipulation]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(7), pages 824-846.
    2. Csóka, Péter, 2003. "Koherens kockázatmérés és tőkeallokáció [Coherent risk measurement and capital allocation]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(10), pages 855-880.

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    More about this item

    JEL classification:

    • D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
    • C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis

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