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| Reference : Alternative to the Mean-Variance Asset Allocation Analysis: A Scenario Methodology for P... |
| Parts of books : Contribution to collective works | |||
| Business & economic sciences : Finance | |||
| http://hdl.handle.net/2268/11824 | |||
| Alternative to the Mean-Variance Asset Allocation Analysis: A Scenario Methodology for Portfolio Selection | |
| English | |
Schyns, Michael  [Université de Liège - ULg > HEC - Ecole de gestion de l'ULg > Informatique de gestion >] | |
| Hübner, Georges [Université de Liège - ULg > HEC - Ecole de gestion de l'ULg > Gestion financière >] | |
| Crama, Yves [Université de Liège - ULg > HEC - Ecole de gestion de l'ULg > Recherche opérationnelle et gestion de la production >] | |
| 8-Apr-2009 | |
| Stock Market Volatility | |
| Gregoriou, Greg N. | |
| Taylor & Francis Group | |
| Chapman & Hall / CRC Finance | |
| 231-254 | |
| 978-1-4200-9954-6 | |
| Boca Raton | |
| USA | |
| [en] This paper introduces a new methodology to optimize the allocation of financial assets. The
objective of the model is to maximize the expected return of the portfolio under constraints limiting its Value-at-Risk. The assets could consist in stocks as well as options. We rely on a flexible scenario tree approach to represent the future prices. In order to reduce the number of leaves and maintain the model tractable, stocks prices are obtained through the Fama & French empirical asset pricing model. Experiments on historical data are performed to illustrate the method and show the performance of the approach. Different strategies are compared: considering various market distributions, several factor models and a few portfolio hypothesis. | |
| QuantOM | |
| http://hdl.handle.net/2268/11824 | |
| http://208.254.79.11/product/isbn/9781420099546 |
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