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Estimation of Tail Risk and Portfolio Optimization with respect to Extreme Measures
Company: University of Rome La Sapienza
Year Of Publication: 2004
Month Of Publication: May
Pages: 29
Download Count: 15
View Count: 1959
Comment Num: 0
Language: English
Source: working paper
Who Can Read: Free
Date: 7-5-2010
Publisher: Administrator
Summary
In this work we discuss in detail the theoretical and practical issues related to the adoption of a Poisson-Gaussian probability measure of financial returns as reference model for risk estimation and control during periods of market instability. The problems posed, as a consequence of its lack of coherence, by the adoption of the Value-at-Risk (VaR) for risk measurement and control purposes are considered in general and with respect to a case study represented by the Argentinean 2001 crisis. The generalisation of the canonical Gaussian framework to account for possible market instabilities and the role that can be played by portfolio optimisation schemes as form of control of extreme downside risk, are related in the article to the current debate on the necessity to overcome the problems posed by VaR in risk management practice. The introduction of coherent risk measures in portfolio optimisation and their effectiveness in risk management is considered by allowing arbitrary assumption
Author(s)
Consigli, Giorgio Sign in to follow this author
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