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On measuring the sensitivity of the optimal portfolio allocation

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  • Iwona Konarzewska

Abstract

In this paper we consider the sensitivity problem connected with portfolio optimization results when different measures of risk such as portfolio rates of return standard deviation, portfolio VaR, CVaR are minimized. Conditioning the data (represented by spectral condition index of the rates of return correlation matrix) plays, as it is shown, a crucial role in describing the properties of the models. We report on the research conducted for 13 largest firms on Warsaw Stock Exchange.

Suggested Citation

  • Iwona Konarzewska, 2008. "On measuring the sensitivity of the optimal portfolio allocation," Operations Research and Decisions, Wroclaw University of Science and Technology, Faculty of Management, vol. 18(2), pages 55-73.
    • Handle: RePEc:wut:journl:v:2:y:2008:p:55-73
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    References listed on IDEAS

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    1. Philippe Artzner & Freddy Delbaen & Jean‐Marc Eber & David Heath, 1999. "Coherent Measures of Risk," Mathematical Finance, Wiley Blackwell, vol. 9(3), pages 203-228, July.
    2. M. Gilli & E. Kellezi & H. Hysi, 2006. "A Data-Driven Optimization Heuristic for Downside Risk Minimization," Computing in Economics and Finance 2006 355, Society for Computational Economics.
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