Title :
Portfolio Sensitivity Analysis with Asset Decrease Based on CVaR
Author_Institution :
Sch. Of Econ., Henan Univ. Sci. & Technol., Luoyang, China
Abstract :
As the amount of asset is decreased, this paper gives the characteristic of the efficient frontier under the sense of CVaR risk measurement, examines the economic implications and compares with the Mean-Variance boundary. We find that when CVaR is used as risk measurement, investors will become more stable, which is useful to risk decentralization and controlling.
Keywords :
asset management; investment; risk analysis; sensitivity analysis; CVaR risk measurement; economic implications; investors; mean-variance boundary; portfolio sensitivity analysis; risk control; risk decentralization; risk measurement; Economics; Educational institutions; Equations; Mathematical model; Portfolios; Reactive power; Vectors; CVaR; efficient frontier; portfolio; sensibility analysis;
Conference_Titel :
Business Computing and Global Informatization (BCGIN), 2012 Second International Conference on
Conference_Location :
Shanghai
Print_ISBN :
978-1-4673-4469-2
DOI :
10.1109/BCGIN.2012.39
