Birbil, Ş. İlker and Frenk, J.B.G. and Kaynar, Bahar and Noyan, Nilay (2009) Risk measures and their applications in asset management. In: Gregoriou, Greg N., (ed.) The VaR Implementation Handbook: Financial Risk and Applications in Asset Management, Measurement, and Modeling. The McGrawHill Companies, Columbus, Ohio, pp. 311338. ISBN 9780071615136
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Abstract
Several approaches exist to model decision making under risk, where risk can be
broadly defined as the effect of variability of random outcomes. One of the main approaches in the practice of decision making under risk uses meanrisk models; one such wellknown is the classical Markowitz model, where variance is used as risk measure. Along this line, we consider a portfolio selection problem, where the asset returns have an elliptical distribution. We mainly focus on portfolio optimization models constructing portfolios with minimal risk, provided that
a prescribed expected return level is attained. In particular, we model the risk by using ValueatRisk (VaR) and Conditional ValueatRisk (CVaR). After reviewing the main properties of VaR and CVaR, we present short proofs to some of the wellknown results. Finally, we describe a computationally efficient solution algorithm and present numerical results.
Item Type:  Book Section / Chapter 

Uncontrolled Keywords:  Elliptical distributions; meanrisk; valueatrisk; conditional valueatrisk; portfolio optimization. 
Subjects:  Q Science > Q Science (General) 
Divisions:  Faculty of Engineering and Natural Sciences Faculty of Engineering and Natural Sciences > Academic programs > Manufacturing Systems Eng. 
Depositing User:  Nilay Noyan 
Date Deposited:  20 Nov 2009 10:14 
Last Modified:  23 Jul 2019 16:38 
URI:  https://research.sabanciuniv.edu/id/eprint/12779 
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Risk measures and their applications in portfolio optimization. (deposited 07 Nov 2008 16:50)
 Risk measures and their applications in asset management. (deposited 20 Nov 2009 10:14) [Currently Displayed]