Robust portfolio optimization for banking foundations: a CVaR approach for asset allocation with mandatory constraints.

IF 1.4 4区 管理学 Q3 OPERATIONS RESEARCH & MANAGEMENT SCIENCE Central European Journal of Operations Research Pub Date : 2023-01-01 DOI:10.1007/s10100-022-00821-5
Maria Cristina Arcuri, Gino Gandolfi, Fabrizio Laurini
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Abstract

This paper focuses on an innovative asset allocation strategy for risk averse investors who operate on very long-time horizons, such as endowments and the Italian foundations of banking origin (FBOs). FBOs play a pivotal role in supporting economic, financial and sustainable growth in the long term. In the search for a model which optimizes FBO portfolio choices in the light of regulatory constraints on their sizeable investable portfolio, we highlight the risk-adjusted performances obtained using a robust conditional VaR (R-CVaR) approach-assuming different risk profiles-which corrects some of the Markowitz approach pitfalls and accounts for tail risk. We compare the two models using a buy and hold strategy: the R-CVaR delivers better returns than a Markowitz portfolio, even when those performances are measured with a mean-variance metric.

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银行基础的稳健投资组合优化:具有强制性约束的资产配置CVaR方法。
本文的重点是一个创新的资产配置策略,为风险厌恶投资者谁经营非常长期的视野,如捐赠基金和意大利银行起源基金会(FBOs)。长期来看,境外机构在支持经济、金融和可持续增长方面发挥着关键作用。在寻找一个模型来优化FBO投资组合选择的过程中,我们强调了使用鲁棒条件VaR (R-CVaR)方法(假设不同的风险概况)获得的风险调整后的绩效,该方法纠正了马科维茨方法的一些陷阱并解释了尾部风险。我们使用买入并持有策略来比较这两个模型:R-CVaR比马科维茨投资组合提供更好的回报,即使这些表现是用平均方差指标来衡量的。
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来源期刊
Central European Journal of Operations Research
Central European Journal of Operations Research 管理科学-运筹学与管理科学
CiteScore
4.70
自引率
11.80%
发文量
30
审稿时长
3 months
期刊介绍: The Central European Journal of Operations Research provides an international readership with high quality papers that cover the theory and practice of OR and the relationship of OR methods to modern quantitative economics and business administration. The focus is on topics such as: - finance and banking - measuring productivity and efficiency in the public sector - environmental and energy issues - computational tools for strategic decision support - production management and logistics - planning and scheduling The journal publishes theoretical papers as well as application-oriented contributions and practical case studies. Occasionally, special issues feature a particular area of OR or report on the results of scientific meetings.
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