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

The optimal portfolio in respect to expected shortfall ...

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dc.contributor.author Syrek, Robert [SAP13016494] pl
dc.contributor.author Gurgul, Henryk pl
dc.contributor.author Machno, Artur pl
dc.date.accessioned 2014-09-29T15:11:13Z
dc.date.available 2014-09-29T15:11:13Z
dc.date.issued 2013 pl
dc.identifier.issn 1898-1143 pl
dc.identifier.uri http://ruj.uj.edu.pl/xmlui/handle/item/1836
dc.language eng pl
dc.title The optimal portfolio in respect to expected shortfall : a comparative study pl
dc.type JournalArticle pl
dc.description.physical 17-20 pl
dc.abstract.en 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. pl
dc.subject.en value at risk pl
dc.subject.en Expected Shortfall pl
dc.subject.en independency pl
dc.subject.en regime switchung copulas pl
dc.subject.en risk management pl
dc.description.number 14 pl
dc.description.publication 0,3 pl
dc.identifier.doi 10.7494/manage.2013.14.17 pl
dc.identifier.eissn 2353-3617 pl
dc.title.journal Managerial Economics pl
dc.language.container eng pl
dc.affiliation Wydział Zarządzania i Komunikacji Społecznej : Instytut Ekonomii i Zarządzania pl
dc.subtype Article pl
dc.rights.original OTHER; otwarte czasopismo; ostateczna wersja wydawcy; w momencie opublikowania; 0; pl
.pointsMNiSW [2013 B]: 6


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