Department of Mathematics and Statistics at the Faculty of Science
University of Calgary
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Portfolio optimization under downside risk measures
Submitted by jlongwor on Fri, 03/19/2010 - 3:05pm.
Mar 25 2010 - 12:00pm
Mar 25 2010 - 12:50pm
Speaker:
Tony Ware & Gordana Dmitrasinovich-Vidovic
Location:
MS 325We give an overview of our work on portfolio optimization with respect to various downside risk measures, including Value at Risk, Capital at Risk, and Conditional Capital at Risk (or Expected Shortfall).
In some cases we are able to give explicit formulae for the optimal investment strategy. We consider portfolios of lognormal assets, as well as portfolios containing mean-reverting assets.