Shortfall as a risk measure: properties, optimization and applications
Shortfall as a risk measure: properties, optimization and applications
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DOI：
10.1016/s0165-1889(03)00109-x
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发表时间：
2004-04-01
影响因子：
1.9
通讯作者：
Samarov, A
中科院分区：
文献类型：
--
作者：
Bertsimas, D;Lauprete, GJ;Samarov, A
从二阶随机优势的激励下，我们引入了一个风险度量，我们称之为短缺。我们研究了短缺的性质，并讨论了它与标准偏差、VaR、较低部分矩和连贯风险度量等常用风险度量的关系。我们证明了均值-缺口优化问题不同于均值- var，它可以作为一个凸优化问题有效地解决，而样本均值-缺口投资组合优化问题可以作为一个线性优化问题有效地解决。我们提供了(a)在资产配置方面的经验证据，以及(b)在仅使用有限数量的资产跟踪指数的问题上，平均短缺方法可能比平均方差法更有优势。(C) 2003 Elsevier B.V.版权所有
Motivated from second-order stochastic dominance, we introduce a risk measure that we call shortfall. We examine shortfall's properties and discuss its relation to such commonly used risk measures as standard deviation, VaR, lower partial moments, and coherent risk measures. We show that the mean-shortfall optimization problem, unlike mean-VaR, can be solved efficiently as a convex optimization problem, while the sample mean-shortfall portfolio optimization problem can be solved very efficiently as a linear optimization problem. We provide empirical evidence (a) in asset allocation, and (b) in a problem of tracking an index using only a limited number of assets that the mean-shortfall approach might have advantages over mean-variance. (C) 2003 Elsevier B.V. All rights reserved.