Positive Portfolio Factors

Robust Portfolio Selection Problems Including Uncertainty Factors

This paper considers robust mean-variance portfolio selection problems including uncertainty sets and fuzzy factors. Since these problems are not well-defined problems due to fuzzy factors, it is hard to solve them directly. Therefore, introducing chance constraints, fuzzy goals and possibility measures, the proposed models are transformed into the deterministic equivalent problems. Furthermore...

Portfolio Compression: Positive and Negative Effects on Systemic Risk

We show how conservative portfolio compression, i.e., netting cycles in a financial network, can increase systemic risk even though the exposures of all banks to each other decrease. We argue that this is because cycles enable risk sharing between the involved banks and can thus dampen the effect of a shock on the rest of the financial system. We first provide an example where under certain sho...

Factors Predicting Positive Outcomes

Robust Mean-Variance Portfolio Selection Problem Including Fuzzy Factors

This paper considers robust mean-variance portfolio selection problems including uncertainty sets and fuzzy factors. Since these problems are not well-defined problems due to fuzzy factors, it is hard to solve them directly. Therefore, introducing chance constraints, fuzzy goals and possibility measures, the proposed models are transformed into the deterministic equivalent problems. Furthermore...

Portfolio Value-at-Risk with Heavy-Tailed Risk Factors

This paper develops efficient methods for computing portfolio value-at-risk (VAR) when the underlying risk factors have a heavy-tailed distribution. In modeling heavy tails, we focus on multivariate t distributions and some extensions thereof. We develop two methods for VAR calculation that exploit a quadratic approximation to the portfolio loss, such as the delta-gamma approximation. In the fi...