A Comparison between Optimal Allocations Based on the Modified VaR and on a Utility-Based Risk Measure
Bodson, Laurent; Coën, Alain; Hübner, Georges
2008 • In Gregoriou, Greg N. (Ed.) The VaR Modeling Handbook: Practical Applications in Alternative Investing, Banking, Insurance, and Portfolio Management Book
[en] Many empirical analyses have demonstrated that some financial asset returns like those of hedge funds depart from the normal distribution. From this observation, several new risk measures have been created to take into consideration the skewness and the kurtosis of the return distributions. We propose in this chapter to present the impact of higher moments on the optimal portfolio allocation comparing two four-moment risk measures, namely a utility-based risk measure with the preference-free modified VaR (MVaR).
Disciplines :
Finance
Author, co-author :
Bodson, Laurent ; Université de Liège - ULiège > HEC - École de gestion de l'ULiège > Gestion financière
Coën, Alain ; Université de Liège - ULiège > HEC - École de gestion de l'ULiège > Gestion de l'industrie des fonds d'investissement
Hübner, Georges ; Université de Liège - ULiège > HEC - École de gestion de l'ULiège > Gestion financière
Language :
English
Title :
A Comparison between Optimal Allocations Based on the Modified VaR and on a Utility-Based Risk Measure
Publication date :
2008
Main work title :
The VaR Modeling Handbook: Practical Applications in Alternative Investing, Banking, Insurance, and Portfolio Management Book
