Optimal portfolio model based on WVAR
This article is focused on using a new measurement of risk-- Weighted Value at Risk to develop a new method of constructing initiate from the TVAR solving problem, based on MATLAB software, using the historical simulation method (avoiding income distribution will be assumed to be normal), the results of previous studies also based on, study the U.S. Nasdaq composite index, combining the Simpson formula for the solution of TVAR and its deeply study; then, through the representation of WVAR formula discussed and indispensable analysis, also using the Simpson formula and the numerical calculations, we have done the empirical analysis and review test. this paper is based on WVAR which possesses better properties, taking the idea of portfolio into the multi-index comprehensive evaluation, to build innovative WVAR based portfolio selection under the framework of a theoretical model; in this framework, a description of risks is designed by WVAR, its advantage is no influence by income distribution, meanwhile various optimization problems have a unique solution; then take AHP weights to different indicators deal on this basis, after that we put a nonlinear satisfaction portfolio selected model forward and conduct tests of empirical analysis, finally we use weighted linear approach to convert the portfolio model into a single-objective problem, which is easier to solve, then we use the data of two ETFs to construct portfolio, and compare the performance of portfolio constructed by Mean-Weighted V@R and by Mean-Variance.
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Acerbi, Carlo & Tasche, Dirk, 2002.
"On the coherence of expected shortfall,"
Journal of Banking & Finance,
Elsevier, vol. 26(7), pages 1487-1503, July.
- Carlo Acerbi & Dirk Tasche, 2001. "On the coherence of Expected Shortfall," Papers cond-mat/0104295, arXiv.org, revised May 2002.
- Kostas Giannopoulos & Ephraim Clark & Radu Tunaru, 2005. "Portfolio selection under VaR constraints," Computational Management Science, Springer, vol. 2(2), pages 123-138, 03. Full references (including those not matched with items on IDEAS)
When requesting a correction, please mention this item's handle: RePEc:arx:papers:1211.5628. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (arXiv administrators)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.