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Portfolio optimization with conditional Value-at-Risk under CEV model
https://doi.org/10.24517/0002000262
https://doi.org/10.24517/00020002621f616ab1-253c-4d7d-b323-9f8316cb6895
| 名前 / ファイル | ライセンス | アクション |
|---|---|---|
Sci_Rep66-002.pdf (2 MB)
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| Item type | 紀要論文 / Departmental Bulletin Paper(1) | |||||||||
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| 公開日 | 2023-12-06 | |||||||||
| タイトル | ||||||||||
| タイトル | Portfolio optimization with conditional Value-at-Risk under CEV model | |||||||||
| 言語 | en | |||||||||
| 言語 | ||||||||||
| 言語 | eng | |||||||||
| キーワード | ||||||||||
| 言語 | en | |||||||||
| 主題 | Portfolio optimization, risk measure, Value-at-Risk (VaR), Conditional Value-at-Risk (CVaR), CEV model, numerical analysis | |||||||||
| 資源タイプ | ||||||||||
| 資源タイプ識別子 | http://purl.org/coar/resource_type/c_6501 | |||||||||
| 資源タイプ | departmental bulletin paper | |||||||||
| ID登録 | ||||||||||
| ID登録 | 10.24517/0002000262 | |||||||||
| ID登録タイプ | JaLC | |||||||||
| 著者 |
IMAMURA Yuri
× IMAMURA Yuri
× KOSAPONG Benyanee
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| 書誌情報 |
en : The Science Reports of Kanazawa University 巻 66, p. 17-27, 発行日 2023 |
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| ISSN | ||||||||||
| 収録物識別子タイプ | ISSN | |||||||||
| 収録物識別子 | 2433-040X | |||||||||
| 出版者 | ||||||||||
| 出版者 | Institute of Science and Engineering, Kanazawa University | |||||||||
| 抄録 | ||||||||||
| 内容記述タイプ | Abstract | |||||||||
| 内容記述 | Portfolio optimization is a well-known and beneficial procedure used by share-holders to select their portfolios. An investor must seek an equilibrium between risk and profit while making investment decisions. The fundamental concern is risk because the responsibility of the risk for each investor is different. A risk profile of each investor is char-acterized as a risk measure. In this paper, we focus on Conditional Value-at-Risk (CVaR). We numerically consider an optimal portfolio which minimizes CVaR under CEV model. Finally, the numerical results of CVaR and the optimal portfolio are discussed. | |||||||||
| 著者版フラグ | ||||||||||
| 出版タイプ | VoR | |||||||||
| 出版タイプResource | http://purl.org/coar/version/c_970fb48d4fbd8a85 | |||||||||
| 関連URI | ||||||||||
| 関連タイプ | isIdenticalTo | |||||||||
| 識別子タイプ | URI | |||||||||
| 関連識別子 | http://scirep.w3.kanazawa-u.ac.jp/ | |||||||||
