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Risk management technology applied to high dimensional portfolios needs simple and fast methods for calculation of Value-at-Risk (VaR). The multivariate normal framework provides a simple off-the-shelf methodology but lacks the heavy tailed distributional properties that are observed in data. A...
Persistent link: https://www.econbiz.de/10012966208
Risk management technology applied to high dimensional portfolios needs simple and fast methods for calculation of Value-at-Risk (VaR). The multivariate normal framework provides a simple off-the-shelf methodology but lacks the heavy tailed distributional properties that are observed in data. A...
Persistent link: https://www.econbiz.de/10003324161
Persistent link: https://www.econbiz.de/10009667520
We examined the impact of including sustainability-related constraints in optimal portfolio decision-making. Our analysis covered an investment set containing the components of the S&P500 index from 1993 to 2008. Optimizations were performed according to the classic mean-variance approach, while...
Persistent link: https://www.econbiz.de/10013048940