Hedging crash risk in optimal portfolio selection

When almost all underlying assets suddenly lose a certain part of their nominal value in a market crash, the diversification effect of portfolios in a normal market condition no longer works. We integrate the crash risk into portfolio management and investigate performance measures, hedging and opti...

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Detalles Bibliográficos
Autores principales: Zhu, Shushang, Zhu, Wei, Pei, Xi, Cui, Xueting
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Elsevier B.V. 2020
Materias:
Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7386296/
https://www.ncbi.nlm.nih.gov/pubmed/32834433
http://dx.doi.org/10.1016/j.jbankfin.2020.105905
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author Zhu, Shushang
Zhu, Wei
Pei, Xi
Cui, Xueting
author_facet Zhu, Shushang
Zhu, Wei
Pei, Xi
Cui, Xueting
author_sort Zhu, Shushang
collection PubMed
description When almost all underlying assets suddenly lose a certain part of their nominal value in a market crash, the diversification effect of portfolios in a normal market condition no longer works. We integrate the crash risk into portfolio management and investigate performance measures, hedging and optimization of portfolio selection involving derivatives. A suitable convex conic programming framework based on parametric approximation method is proposed to make the problem a tractable one. Simulation analysis and empirical study are performed to test the proposed approach.
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spelling pubmed-73862962020-07-29 Hedging crash risk in optimal portfolio selection Zhu, Shushang Zhu, Wei Pei, Xi Cui, Xueting J Bank Financ Article When almost all underlying assets suddenly lose a certain part of their nominal value in a market crash, the diversification effect of portfolios in a normal market condition no longer works. We integrate the crash risk into portfolio management and investigate performance measures, hedging and optimization of portfolio selection involving derivatives. A suitable convex conic programming framework based on parametric approximation method is proposed to make the problem a tractable one. Simulation analysis and empirical study are performed to test the proposed approach. Elsevier B.V. 2020-10 2020-07-28 /pmc/articles/PMC7386296/ /pubmed/32834433 http://dx.doi.org/10.1016/j.jbankfin.2020.105905 Text en © 2020 Elsevier B.V. All rights reserved. Since January 2020 Elsevier has created a COVID-19 resource centre with free information in English and Mandarin on the novel coronavirus COVID-19. The COVID-19 resource centre is hosted on Elsevier Connect, the company's public news and information website. Elsevier hereby grants permission to make all its COVID-19-related research that is available on the COVID-19 resource centre - including this research content - immediately available in PubMed Central and other publicly funded repositories, such as the WHO COVID database with rights for unrestricted research re-use and analyses in any form or by any means with acknowledgement of the original source. These permissions are granted for free by Elsevier for as long as the COVID-19 resource centre remains active.
spellingShingle Article
Zhu, Shushang
Zhu, Wei
Pei, Xi
Cui, Xueting
Hedging crash risk in optimal portfolio selection
title Hedging crash risk in optimal portfolio selection
title_full Hedging crash risk in optimal portfolio selection
title_fullStr Hedging crash risk in optimal portfolio selection
title_full_unstemmed Hedging crash risk in optimal portfolio selection
title_short Hedging crash risk in optimal portfolio selection
title_sort hedging crash risk in optimal portfolio selection
topic Article
url https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7386296/
https://www.ncbi.nlm.nih.gov/pubmed/32834433
http://dx.doi.org/10.1016/j.jbankfin.2020.105905
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AT cuixueting hedgingcrashriskinoptimalportfolioselection

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