Computing the portfolio conditional value-at-risk in the α-stable case

• Autorzy: Stoyanov S. , Samorodnitsky G. , Rachev S. T. , Ortobelli S.
• Języki publikacji: EN

Abstrakty

EN

The class of α-stable distributions is an attractive probabilistic model of asset returns distribution in the field of finance. When dealing with real issues, such as optimal portfolio selection, it is important that we can compute the Conditional Value-at-Risk (CVaR) accurately. The CVaR is also known as the expected tail loss (ETL) proposed in literature as a coherent risk measure. In our paper we propose an integral expression for the calculation of the CVaR of a stable law. We compare the current approach to some existing method and we demonstrate how to relate the derived result to some common multivariate distributional assumptions.

Słowa kluczowe

EN

stable distributions; heavy tails; coherent risk measures; conditional value-at-risk; expected tail loss

• Wydawca: Wrocław University of Science and Technology
• Czasopismo: Probability and Mathematical Statistics
• Rocznik: 2006
• Tom: Vol. 26, Fasc. 1
• Strony: 1--22
• Opis fizyczny: Bibliogr. 16 poz., tab., wykr.

Twórcy

autor

Stoyanov S.

• FinAnalytica, Seattle, USA
• Faculty of Mathematics and Informatics, Sofia University, Bulgaria

autor

Samorodnitsky G.

• School of Operations Research, Cornell University Ithaca, NY 14853, USA
• Industrial Engineering, Cornell University Ithaca, NY 14853, USA
• Department of Statistical Science, Cornell University Ithaca, NY 14853, USA

autor

Rachev S. T.

• Department of Econometrics and Statistics, University of Karlsruhe, D-76128 Karlsruhe, Germany
• Department of Statistics and Applied Probability, University of California, Santa Barbara, CA 93106, USA

autor

Ortobelli S.

• Department MSIA, University of Bergamo, Via dei Caniana, 2, 24127, Italy

Bibliografia

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