cvar portfolio optimization video -凯发官方首页
portfolio optimization is a mathematical approach to making investment decisions across a collection of financial instruments or assets. the goal of portfolio optimization is to find the mix of investments that achieve a desired risk versus return tradeoff. the conventional method for portfolio optimization is mean-variance portfolio optimization, which is based on the assumption that returns are normally distributed.
on the other hand, conditional value-at-risk (cvar) is the extended risk measure of value-at-risk that quantifies the average loss over a specified time period of scenarios beyond the confidence level. for example, a one-day 99% cvar of $12 million means the expected loss of the worst 1% scenarios over a one-day period is $12 million. moreover, cvar is also known as expected shortfall.
with cvar portfolio optmization, you do not need to assume normally distributed returns. in this example, you will learn:
- how to use copula to generate correlated asset scenarios that try to mimic the pattern of historical returns
- how to apply cvar portfolio optimization based on simulated asset scenarios
- how to compare the efficient frontiers between cvar portfolio optimization and mean-variance portfolio optimization
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