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On measuring the sensitivity of the optimal portfolio allocation

Author

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  • Iwona Konarzewska

    () (Institute of Econometrics and Statistics, University of lodz, Poland)

Abstract

In this paper we consider the sensitivity problem connected with portfolio optimization results when different measures of risk such as portfolio rates of return standard deviation, portfolio VaR, CVaR are minimized. Conditioning the data (represented by spectral condition index of the rates of return correlation matrix) plays, as it is shown, a crucial role in describing the properties of the models. We report on the research conducted for 13 largest firms on Warsaw Stock Exchange.

Suggested Citation

  • Iwona Konarzewska, 2008. "On measuring the sensitivity of the optimal portfolio allocation," Operations Research and Decisions, Wroclaw University of Technology, Institute of Organization and Management, vol. 2, pages 55-73.
  • Handle: RePEc:wut:journl:v:2:y:2008:p:55-73
    as

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    File URL: http://www.ioz.pwr.wroc.pl/boid/artykuly/2-2008/art-4-konarzewska.pdf
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    References listed on IDEAS

    as
    1. Manfred Gilli & Evis Këllezi & Hilda Hysi, "undated". "A Data-Driven Optimization Heuristic for Downside Risk Minimization," Swiss Finance Institute Research Paper Series 06-02, Swiss Finance Institute.
    2. Philippe Artzner & Freddy Delbaen & Jean-Marc Eber & David Heath, 1999. "Coherent Measures of Risk," Mathematical Finance, Wiley Blackwell, vol. 9(3), pages 203-228.
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