Economic implications of using a mean-VaR model for portfolio selection: A comparison with mean-variance analysis
Economic implications of using a mean-VaR model for portfolio selection: A comparison with mean-variance analysis
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DOI：
10.1016/s0165-1889(01)00041-0
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发表时间：
2002-07-01
影响因子：
1.9
通讯作者：
Baptista, AM
中科院分区：
文献类型：
--
作者：
Alexander, GJ;Baptista, AM
我们将风险价值（VaR）与均值-方差分析联系起来，并研究了使用均值-VaR模型进行投资组合选择的经济含义。当比较两个均值-方差有效的投资组合时，方差越大的投资组合可能具有越小的VaR。因此，一个有效的投资组合，全球最小化风险值可能不存在。令人惊讶的是，我们表明，这是合理的某些风险厌恶的代理人最终选择投资组合的标准差较大，如果他们从使用方差转换为风险价值作为衡量风险。因此，监管者应该意识到，作为风险度量，VaR并不是方差的无限制改进。(C)2002 Elsevier Science B. V.保留所有权利。
We relate value at risk (VaR) to mean-variance analysis and examine the economic implications of using a mean-VaR model for portfolio selection. When comparing two mean-variance efficient portfolios, the higher variance portfolio might have less VaR. Consequently, an efficient portfolio that globally minimizes VaR may not exist. Surprisingly, we show that it is plausible for certain risk-averse agents to end up selecting portfolios with larger standard deviations if they switch from using variance to VaR as a measure of risk. Therefore, regulators should be aware that VaR is not an unqualified improvement over variance as a measure of risk. (C) 2002 Elsevier Science B.V. All rights reserved.