Il giorno giovedì 21 gennaio 2016 alle ore 11.00 presso la
aula seminari del Dipartimento di Statistica e Metodi Quantitativi della
Università di Milano-Bicocca, al IV piano dell'edificio U7, Edgars
Jakobsons dell'ETH di Zurigo terrà un seminario su
"Suboptimality in portfolio CVaR optimization"
Abstract
We consider the portfolio optimization problem with conditional
value-at-risk as the objective. Summarizing commonly used methods of
solution, we note that the linear programming approximation is the most
generally applicable and easy one to use (the LP uses a Monte Carlo
sample from the true asset returns distribution). The suboptimality of
the obtained approximate portfolios is then analyzed using a numerical
example, with up to 101 assets and Student-t distributed returns, ranging
from light to heavy tails. The results can be used as an estimate of the
portfolio suboptimality for more general asset returns distributions,
based on the number of assets, tail-heaviness, and the fineness of the
discretization. Computation times using different techniques available in
the literature are also analyzed.
Tutti gli interessati sono invitati a partecipare.
Prof. Fabio Bellini
Department of Statistics and Quantitative Methods
University of Milano-Bicocca
Via Bicocca degli Arcimboldi 8, 20126 Milano
0039-2-64483119
http://www.economia.unimib.it/bellini
http://scholar.google.it/citations?user=P61L8P4AAAAJ&hl=it