A comparison of VaR and CVaR constraints on portfolio selection with the mean-variance model
A comparison of VaR and CVaR constraints on portfolio selection with the mean-variance model
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DOI：
10.1287/mnsc.1040.0201
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发表时间：
2004-09-01
影响因子：
5.4
通讯作者：
Baptista, AM
中科院分区：
文献类型：
--
作者：
Alexander, GJ;Baptista, AM
本文分析了对均值-方差模型施加风险价值约束所产生的投资组合选择影响，并将其与施加条件风险价值约束所产生的投资组合选择影响进行了比较。我们表明，对于给定的置信水平，如果CVaR和VaR边界重合，则CVaR约束比VaR约束更严格。因此，CVaR约束比VaR约束作为控制稍微厌恶风险的代理人的工具更有效，但在没有无风险证券的情况下，它有一个反常的效果，因为它更有可能迫使高度厌恶风险的代理人选择具有较大标准差的投资组合。然而，当CVaR边界比VaR边界适当地大，或者当存在无风险证券时，CVaR约束作为风险管理工具“支配”了VaR约束。
In this paper, we analyze the portfolio selection implications arising from imposing a value-at-risk (VaR) constraint on the mean-variance model, and compare them with those arising from the imposition of a conditional value-at-risk (CVaR) constraint. We show that for a given confidence level, a CVaR constraint is tighter than a VaR constraint if the CVaR and VaR bounds coincide. Consequently, a CVaR constraint is more effective than a VaR constraint as a tool to control slightly risk-averse agents, but in the absence of a risk-free security, has a perverse effect in that it is more likely to force highly risk-averse agents to select portfolios with larger standard deviations. However, when the CVaR bound is appropriately larger than the VaR bound or when a risk-free security is present, a CVaR constraint "dominates" a VaR constraint as a risk management tool.