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

Bibliographic description

punktacja MEiN [2013 B]: 6

title:	The optimal portfolio in respect to expected shortfall : a comparative study
author:	Syrek Robert , Gurgul Henryk, Machno Artur
journal title:	Managerial Economics
issue:	14
date of publication :	2013
pages:	17-20
ISSN:	1898-1143
eISSN:	2353-3617
DOI:	10.7494/manage.2013.14.17
language:	English
journal language:	English
abstract in English:	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.
keywords in English:	value at risk, Expected Shortfall, independency, regime switchung copulas, risk management
number of pulisher's sheets:	0,3
affiliation:	Wydział Zarządzania i Komunikacji Społecznej : Instytut Ekonomii i Zarządzania
type:	journal article
subtype:	academic paper

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