دانلود مقاله ISI انگلیسی شماره 45140
ترجمه فارسی عنوان مقاله

مشخص سازی سبد سرمایه گذاری بهینه تحت معیار دم میانگین واریانس

عنوان انگلیسی
A characterization of optimal portfolios under the tail mean–variance criterion
کد مقاله سال انتشار تعداد صفحات مقاله انگلیسی
45140 2013 9 صفحه PDF
منبع

Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)

Journal : Insurance: Mathematics and Economics, Volume 52, Issue 2, March 2013, Pages 213–221

ترجمه کلمات کلیدی
دم انتظار مشروط - واریانس دم - انتخاب سبد سرمایه گذاری بهینه -
کلمات کلیدی انگلیسی
G11IM12; IE13; IB63Tail conditional expectation; Tail variance; Optimal portfolio selection; Quartic equation
پیش نمایش مقاله
پیش نمایش مقاله  مشخص سازی سبد سرمایه گذاری بهینه تحت معیار دم میانگین واریانس

چکیده انگلیسی

The tail mean–variance model was recently introduced for use in risk management and portfolio choice; it involves a criterion that focuses on the risk of rare but large losses, which is particularly important when losses have heavy-tailed distributions. If returns or losses follow a multivariate elliptical distribution, the use of risk measures that satisfy certain well-known properties is equivalent to risk management in the classical mean–variance framework. The tail mean–variance criterion does not satisfy these properties, however, and the precise optimal solution typically requires the use of numerical methods. We use a convex optimization method and a mean–variance characterization to find an explicit and easily implementable solution for the tail mean–variance model. When a risk-free asset is available, the optimal portfolio is altered in a way that differs from the classical mean–variance setting. A complete solution to the optimal portfolio in the presence of a risk-free asset is also provided.