ScholarLens Back to search
2008•Journal of Shanxi Finance and Economics UniversityRequires access

Measure of Dynamic Risk and the Optimal Portfolio Selection

Jiang Cui-xia

Open publisher page 1 citations

Abstract

In current financial risk management practice,value at risk(VaR) and conditional value at risk(CVaR) are the most popular risk measures.This paper extends the static VaR and CVaR to the dynamic ones through time-varying volatility modeled by general autoregressive conditional heteroscedasticity(GARCH) model.Under normal distribution assumption,the authors discuss the calculation of dynamic VaR and CVaR through multivariate GARCH model.Based on the dynamic measure of risk,the dynamic framework for optimal portfolio selection is proposed and solved by the dynamic programming methods.In particular,the authors focus on the portfolio which yields a portfolio of the minimum variance,VaR or CVaR at every day.Finally,empirical applications are applied into international stock markets.

About this research paper

What this paper is about

In current financial risk management practice,value at risk(VaR) and conditional value at risk(CVaR) are the most popular risk measures.This paper extends the static VaR and CVaR to the dynamic ones through time-varying volatility modeled by general autoregressive conditional heteroscedasticity(GARCH) model.Under normal distribution assumption,the authors discuss the calculation of dynamic VaR and CVaR through multivariate GARCH model.Based on the dynamic measure of risk,the dynamic framework for optimal portfolio selection is proposed and solved by the dynamic programming methods.In particular,the authors focus on the portfolio which yields a portfolio of the minimum variance,VaR or CVaR at every day.Finally,empirical applications are applied into international stock markets.

Why it matters

OpenAlex reports 1 citations for this work. Citation counts describe recorded attention and do not establish research quality.

Key contribution

A contribution statement is not available in the OpenAlex record.

Method / approach

Method details are not available in the OpenAlex metadata.

Main findings

Findings are not separately available in the OpenAlex metadata.

Limitations

Limitations are not available in the OpenAlex metadata.

Applications

Application details are not available in the OpenAlex metadata.

Available abstract

In current financial risk management practice,value at risk(VaR) and conditional value at risk(CVaR) are the most popular risk measures.This paper extends the static VaR and CVaR to the dynamic ones through time-varying volatility modeled by general autoregressive conditional heteroscedasticity(GARCH) model.Under normal distribution assumption,the authors discuss the calculation of dynamic VaR and CVaR through multivariate GARCH model.Based on the dynamic measure of risk,the dynamic framework for optimal portfolio selection is proposed and solved by the dynamic programming methods.In particular,the authors focus on the portfolio which yields a portfolio of the minimum variance,VaR or CVaR at every day.Finally,empirical applications are applied into international stock markets.

Key concepts: CVAR, Expected shortfall, Portfolio optimization, Econometrics, Value at risk, Portfolio, Risk measure, Economics

Related papers

Related paper 1Related paper 2Related paper 3
Back to paper searchBrowse research topicsOriginal source
Measure of Dynamic Risk and the Optimal Portfolio Selection — Research Paper | ScholarLens