Portfolio Value-at-Risk with Heavy-Tailed Risk Factors
β Scribed by Paul Glasserman; Philip Heidelberger; Perwez Shahabuddin
- Book ID
- 108550500
- Publisher
- John Wiley and Sons
- Year
- 2002
- Tongue
- English
- Weight
- 285 KB
- Volume
- 12
- Category
- Article
- ISSN
- 0960-1627
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π SIMILAR VOLUMES
## Abstract We propose a new approach to the estimation of the portfolio ValueβatβRisk. Based on the assumption that the same macroeconomic factors affect returns of all assets in a portfolio, this methodology allows the generation of the sequence of hypothetical future equilibrium portfolio return
We consider the optimal portfolio selection problem subject to a maximum value-at-Risk (MVaR) constraint when the price dynamics of the risky asset are governed by a Markov-modulated geometric Brownian motion (GBM). Here, the market parameters including the market interest rate of a bank account, th