EURO-Online login
- New to EURO? Create an account
- I forgot my username and/or my password.
- Help with cookies
(important for IE8 users)
3963. Portfolio selection with two risk sources and inverse optimization
Contributed abstract in session MA-51: Risk management in finance, stream Risk management in finance.
Monday, 8:30-10:00Room: M5 (building: 101)
Authors (first author is the speaker)
| 1. | Hanna Zhurba
|
| Faculty of Economics, specializing in Economics and Finance, with a curriculum in Quantitative Finance, Università degli Studi di Bergamo | |
| 2. | Sergio Ortobelli Lozza
|
| University of Bergamo |
Abstract
In this work, we first discuss how evaluating two sources of risk (market risk and trend risk) using a unique measure of risk. In particular, we combine two risk measures with alternative correlation matrix in order to get a unique risk measure. Then we extend the inverse optimization problem proposed by Black and Litterman (1992) adapted to this context. Finally, we propose an ex post empirical analysis, where we compare the proposed models with other different portfolio selection models.
Keywords
- Risk Analysis and Management
- Optimization in Financial Mathematics
Status: accepted
Back to the list of papers