The optimal portfolio in respect to expected shortfall : a comparative study

2013
journal article
article
cris.lastimport.wos2024-04-09T23:56:28Z
dc.abstract.enValue at Risk plays a crucial role in the risk management. However, this risk measure has some drawbacks. The alternative risk measure is Expected Shortfall, which is rarely used, but exhibits desirable properties. In the paper, the estimation of both risk measures has been conducted, for pairs of index returns (DJIA, DAX, ATX), based on Markowitz model, the regime switching copula model and the multivariate GARCH model. The results suggest that a misspecification can cause many errors. Incorrect models cause bias of mean, especially models which do not as- sume dynamic structure of the market Both an underestimation and an overestimation of a risk has been observed. In the paper, it is shown that the measure of change in Expected Shortfall as a function of the expected return is strongly underestimated under the normal distribution assumption.pl
dc.affiliationWydział Zarządzania i Komunikacji Społecznej : Instytut Ekonomii i Zarządzaniapl
dc.contributor.authorSyrek, Robert - 227829 pl
dc.contributor.authorGurgul, Henrykpl
dc.contributor.authorMachno, Arturpl
dc.date.accessioned2014-09-29T15:11:13Z
dc.date.available2014-09-29T15:11:13Z
dc.date.issued2013pl
dc.date.openaccess0
dc.description.accesstimew momencie opublikowania
dc.description.number14pl
dc.description.physical17-20pl
dc.description.publication0,3pl
dc.description.versionostateczna wersja wydawcy
dc.identifier.doi10.7494/manage.2013.14.17pl
dc.identifier.eissn2353-3617pl
dc.identifier.issn1898-1143pl
dc.identifier.urihttp://ruj.uj.edu.pl/xmlui/handle/item/1836
dc.languageengpl
dc.language.containerengpl
dc.rights.licenceOTHER
dc.share.typeotwarte czasopismo
dc.subject.envalue at riskpl
dc.subject.enExpected Shortfallpl
dc.subject.enindependencypl
dc.subject.enregime switchung copulaspl
dc.subject.enrisk managementpl
dc.subtypeArticlepl
dc.titleThe optimal portfolio in respect to expected shortfall : a comparative studypl
dc.title.journalManagerial Economicspl
dc.typeJournalArticlepl
dspace.entity.typePublication
cris.lastimport.wos
2024-04-09T23:56:28Z
dc.abstract.enpl
Value at Risk plays a crucial role in the risk management. However, this risk measure has some drawbacks. The alternative risk measure is Expected Shortfall, which is rarely used, but exhibits desirable properties. In the paper, the estimation of both risk measures has been conducted, for pairs of index returns (DJIA, DAX, ATX), based on Markowitz model, the regime switching copula model and the multivariate GARCH model. The results suggest that a misspecification can cause many errors. Incorrect models cause bias of mean, especially models which do not as- sume dynamic structure of the market Both an underestimation and an overestimation of a risk has been observed. In the paper, it is shown that the measure of change in Expected Shortfall as a function of the expected return is strongly underestimated under the normal distribution assumption.
dc.affiliationpl
Wydział Zarządzania i Komunikacji Społecznej : Instytut Ekonomii i Zarządzania
dc.contributor.authorpl
Syrek, Robert - 227829
dc.contributor.authorpl
Gurgul, Henryk
dc.contributor.authorpl
Machno, Artur
dc.date.accessioned
2014-09-29T15:11:13Z
dc.date.available
2014-09-29T15:11:13Z
dc.date.issuedpl
2013
dc.date.openaccess
0
dc.description.accesstime
w momencie opublikowania
dc.description.numberpl
14
dc.description.physicalpl
17-20
dc.description.publicationpl
0,3
dc.description.version
ostateczna wersja wydawcy
dc.identifier.doipl
10.7494/manage.2013.14.17
dc.identifier.eissnpl
2353-3617
dc.identifier.issnpl
1898-1143
dc.identifier.uri
http://ruj.uj.edu.pl/xmlui/handle/item/1836
dc.languagepl
eng
dc.language.containerpl
eng
dc.rights.licence
OTHER
dc.share.type
otwarte czasopismo
dc.subject.enpl
value at risk
dc.subject.enpl
Expected Shortfall
dc.subject.enpl
independency
dc.subject.enpl
regime switchung copulas
dc.subject.enpl
risk management
dc.subtypepl
Article
dc.titlepl
The optimal portfolio in respect to expected shortfall : a comparative study
dc.title.journalpl
Managerial Economics
dc.typepl
JournalArticle
dspace.entity.type
Publication
Affiliations

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