Portfolio Selection Based on Modified CoVaR in Gaussian Framework
Year: 2024
Type: article
Abstract: We study a Mean-Risk model, where risk is measured by a Modified CoVaR (Conditional Value at Risk): CoVaRα,β≤(X|Y)=VaRβ(X|Y+VaRα(Y)≤0). We prove that in a Gaussian setting, for a sufficiently small β, such a model has a solution. There exists a portfolio that fulfills the given constraints and for which the risk is minimal. This is shown in relation to the mean–standard deviation portfolio, and numerical examples are provided.
Source: Mathematics
DOI: 10.3390/math12233766
Authors: Piotr Jaworski, Anna Zalewska
Institutions: University of Warsaw, Warsaw University of Technology
Language: English
Field: Decision Sciences
Domain: Social Sciences
Open Access status: gold
Estimated APC paid: $2,955
OpenAlex ID: W4404859270