A CVaR Scenario-Based Framework for Minimizing Downside Risk in Multi-Asset Class Portfolios
Abstract
Multi-asset class (MAC) portfolios can be composed of investments in equities, fixed income, commodities, foreign exchange, credit, derivatives, and alternatives such as real estate and private equity. The return for such nonlinear portfolios is asymmetric with significant tail risk. The traditional Markowitz mean–variance optimization (MVO) framework, which linearizes all the assets in the portfolio and uses the standard deviation...
Paper Details
Title
A CVaR Scenario-Based Framework for Minimizing Downside Risk in Multi-Asset Class Portfolios
Published Date
Dec 22, 2017
Volume
44
Issue
2
Pages
114 - 129
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