Performance of robust portfolio optimization in crisis periods

• Autorzy: Balcilar M. , Ozun A.
• Języki publikacji: EN

Abstrakty

EN

We examin empirical performances of two alterna- tive robust optimization models, namely the worst-case conditional value-at-risk (worst-case CVaR) model and the nominal conditional value-at-risk (CVaR) model in crisis periods. Both models are based on historical value-at-risk methodology. These performances are compared by using a portfolio constructed on the basis of daily clos- ing values of different stock indices in developed markets using data from 1990 to 2013. An empirical evidence is produced with Ro- bustRisk software application. Both a Monte-Carlo simulation and an out-of-sample test show that robust optimization with worst-case CVaR model outperforms the nominal CVaR model in the crisis peri- ods. However, the trade-off between model misspecification risk and return maximization depending on the market movements should be optimized in a robust model selection.

Słowa kluczowe

EN

robust control procedures; RobustRisk; portfolio optimization; Monte Carlo simulation; global crisis

• Wydawca: Systems Research Institute, Polish Academy of Sciences
• Czasopismo: Control and Cybernetics
• Rocznik: 2013
• Tom: Vol. 42, no. 4
• Strony: 855--871
• Opis fizyczny: Bibliogr. 10 poz., il., wykr.

Twórcy

autor

Balcilar M.

• Department of Computer Science, Yildiz Technical University Davutpasa, 34220, Istanbul, Turkey

autor

Ozun A.

• School of Management, Bradford University Emm Lane, BD9 4JL, Bradford, UK

Bibliografia

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