Portfolio Frontiers with Restrictions to Tracking Error Volatility and Value at Risk
Portfolio Frontiers with Restrictions to Tracking Error Volatility and Value at Risk
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DOI：
10.1016/j.jbankfin.2012.05.014
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发表时间：
2011-10
影响因子：
3.7
通讯作者：
Giulio Palomba;Luca Riccetti
中科院分区：
文献类型：
--
作者：
Giulio Palomba;Luca Riccetti
资产管理者经常被赋予通过控制风险价值（VaR）和跟踪误差波动率（TEV）来限制其活动的任务。然而，这些约束可能不可能同时满足，因为VaR是独立的基准组合。对这些限制的管理可能会影响投资组合的表现，并在风险收益空间中产生各种各样的情景。本文的目的是分析当风险管理者对TEV和VaR施加联合限制时，投资组合边界之间的各种相互作用。具体来说，我们提供了所有的交叉点的解析解，我们提出了简单的数值方法时，这样的解决方案是不可用的。最后，我们引入了一个新的投资组合边界。
Asset managers are often given the task of restricting their activity by keeping both the value at risk (VaR) and the tracking error volatility (TEV) under control. However, these constraints may be impossible to satisfy simultaneously because VaR is independent of the benchmark portfolio. The management of these restrictions is likely to affect portfolio performance and produces a wide variety of scenarios in the risk-return space. The aim of this paper is to analyse various interactions between portfolio frontiers when risk managers impose joint restrictions upon TEV and VaR. Specifically, we provide analytical solutions for all the intersections and we propose simple numerical methods when such solutions are not available. Finally, we introduce a new portfolio frontier.