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 mailto [Université de Liège - ULg > HEC - Ecole de gestion de l'ULg > Informatique de gestion >]
Hübner, Georges mailto [Université de Liège - ULg > HEC - Ecole de gestion de l'ULg > Gestion financière >]
Crama, Yves mailto [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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