About: Portfolio selection in the presence of systemic risk

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An Entity of Type : http://linked.opendata.cz/ontology/domain/vavai/Vysledek, within Data Space : linked.opendata.cz associated with source document(s)

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rdf:type	skos:Concept http://linked.opendata.cz/ontology/domain/vavai/Vysledek
Description	In this article we study the portfolio selection problem in the presence of systemic risk. We propose reward-risk measures that account for systemic risk and provide a methodology to generate realistic return scenarios. The methodology involves first analyzing the empirical behavior of several MSCI country indexes, suggesting how to approximate future scenarios. Then we examine the profitability of several strategies based on the forecasted evolution of returns. In particular, we compare the optimal sample paths of future wealth obtained by performing reward-risk portfolio optimization on simulated data and we discuss the ex-post performance of the proposed portfolio strategies. In this article we study the portfolio selection problem in the presence of systemic risk. We propose reward-risk measures that account for systemic risk and provide a methodology to generate realistic return scenarios. The methodology involves first analyzing the empirical behavior of several MSCI country indexes, suggesting how to approximate future scenarios. Then we examine the profitability of several strategies based on the forecasted evolution of returns. In particular, we compare the optimal sample paths of future wealth obtained by performing reward-risk portfolio optimization on simulated data and we discuss the ex-post performance of the proposed portfolio strategies. (en)
Title	Portfolio selection in the presence of systemic risk Portfolio selection in the presence of systemic risk (en)
skos:prefLabel	Portfolio selection in the presence of systemic risk Portfolio selection in the presence of systemic risk (en)
skos:notation	RIV/61989100:27510/14:86092285!RIV15-MSM-27510___
http://linked.open...avai/riv/aktivita	P S
http://linked.open...avai/riv/aktivity	P(EE2.3.20.0296), P(GA13-13142S), S
http://linked.open...iv/cisloPeriodika	2014
http://linked.open...vai/riv/dodaniDat	2015
http://linked.open...aciTvurceVysledku	Ortobelli, Sergio Lozza
http://linked.open.../riv/druhVysledku	J - Článek v odborném periodiku
http://linked.open...iv/duvernostUdaju	S - Úplné a pravdivé údaje nepodléhající ochraně podle zvláštních právních předpisů
http://linked.open...titaPredkladatele	Vysoká škola báňská - Technická univerzita Ostrava / Ekonomická fakulta
http://linked.open...dnocenehoVysledku	37669
http://linked.open...ai/riv/idVysledku	RIV/61989100:27510/14:86092285
http://linked.open...riv/jazykVysledku	eng - angličtina
http://linked.open.../riv/klicovaSlova	skewness; heavy tails; scenario generation; performance measure; portfolio selection; systemic risk (en)
http://linked.open.../riv/klicoveSlovo	skewness systemic risk performance measure heavy tails portfolio selection scenario generation
http://linked.open...odStatuVydavatele	GB - Spojené království Velké Británie a Severního Irska
http://linked.open...ontrolniKodProRIV	[D3CFEDCFD45D]
http://linked.open...i/riv/nazevZdroje	Journal of Asset Management
http://linked.open...in/vavai/riv/obor	AH
http://linked.open...ichTvurcuVysledku	1 (xsd:int)
http://linked.open...cetTvurcuVysledku	3 (xsd:int)
http://linked.open...vavai/riv/projekt	Research team for modelling of economic and financial processes at VSB-TU Ostrava Verification of suitability of particular Lévy models for selected issues of financial modeling
http://linked.open...UplatneniVysledku	2014
http://linked.open...v/svazekPeriodika	15
http://linked.open...iv/tvurceVysledku	Ortobelli, Sergio Lozza Fabozzi, Frank Biglova, Almira
issn	1470-8272
number of pages	15 (xsd:int)
http://bibframe.org/vocab/doi	10.1057/jam.2014.30
http://localhost/t...ganizacniJednotka	27510

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