In order to evaluate and compare the advantages related with the use of the robust counterpart of three models of portfolio selection, we performed an implementation of the models both in a robust and a non-robust way. The comparison is done through an ex-post analysis on the results obtained by the ex-ante implementation of each model in selecting from a set of 28 European hedge funds during 2007, a “wonderful” year of data for model stressing and backtesting. As we shall see, the strategies obtained by means of the robust approach have a definitely better performance and, among the robust models, CVaR dominates the other competitors because of its coherent nature.
R. Cesari, A.G. Quaranta (2008). Robust CVaR Portfolio Management. TRENTO : AMASES - Università di Trento.
Robust CVaR Portfolio Management
CESARI, RICCARDO;QUARANTA, ANNA GRAZIA
2008
Abstract
In order to evaluate and compare the advantages related with the use of the robust counterpart of three models of portfolio selection, we performed an implementation of the models both in a robust and a non-robust way. The comparison is done through an ex-post analysis on the results obtained by the ex-ante implementation of each model in selecting from a set of 28 European hedge funds during 2007, a “wonderful” year of data for model stressing and backtesting. As we shall see, the strategies obtained by means of the robust approach have a definitely better performance and, among the robust models, CVaR dominates the other competitors because of its coherent nature.I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
