Downside risk management and VaR-based optimal portfolios for precious metals, oil and stocks
Autor(a) principal: | |
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Data de Publicação: | 2013 |
Outros Autores: | , |
Tipo de documento: | Artigo |
Idioma: | eng |
Título da fonte: | Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
Texto Completo: | http://hdl.handle.net/10400.15/2981 |
Resumo: | Value-at-Risk (VaR) is used to analyze the market downside risk associated with investments in six key individual assets including four precious metals, oil and the S&P 500 index, and three diversified portfolios. Using combinations of these assets, three optimal portfolios and their efficient frontiers within a VaR framework are constructed and the returns and downside risks for these portfolios are also analyzed. One-day-ahead VaR forecasts are computed with nine risk models including calibrated RiskMetrics, asymmetric GARCH type models, the filtered Historical Simulation approach, methodologies from statistics of extremes and a risk management strategy involving combinations of models. These risk models are evaluated and compared based on the unconditional coverage, independence and conditional coverage criteria. The economic importance of the results is also highlighted by assessing the daily capital charges under the Basel Accord rule. The best approaches for estimating the VaR for the individual assets under study and for the three VaR-based optimal portfolios and efficient frontiers are discussed. The VaR-based performance measure ranks the most diversified optimal portfolio (Portfolio #2) as the most efficient and the pure precious metals. |
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Downside risk management and VaR-based optimal portfolios for precious metals, oil and stocksEfficient frontiersKey assetsOptimal portfoliosRisk managementValue-at-RiskValue-at-Risk (VaR) is used to analyze the market downside risk associated with investments in six key individual assets including four precious metals, oil and the S&P 500 index, and three diversified portfolios. Using combinations of these assets, three optimal portfolios and their efficient frontiers within a VaR framework are constructed and the returns and downside risks for these portfolios are also analyzed. One-day-ahead VaR forecasts are computed with nine risk models including calibrated RiskMetrics, asymmetric GARCH type models, the filtered Historical Simulation approach, methodologies from statistics of extremes and a risk management strategy involving combinations of models. These risk models are evaluated and compared based on the unconditional coverage, independence and conditional coverage criteria. The economic importance of the results is also highlighted by assessing the daily capital charges under the Basel Accord rule. The best approaches for estimating the VaR for the individual assets under study and for the three VaR-based optimal portfolios and efficient frontiers are discussed. The VaR-based performance measure ranks the most diversified optimal portfolio (Portfolio #2) as the most efficient and the pure precious metals.ElsevierRepositório Científico do Instituto Politécnico de SantarémHammoudeh, ShawkatAraújo Santos, PauloAl-Hassan, Abdullah2020-07-13T09:50:12Z20132013-01-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10400.15/2981engHammoudeh, S., Araújo Santos, P., & Al-Hassan, A. (2013). Downside risk management and VaR-based optimal portfolios for precious metals, oil and stocks. North American Journal of Economics & Finance, 25, 318–334. doi: 10.1016/j.najef.2012.06.0121062-940810.1016/j.najef.2012.06.012metadata only accessinfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2024-01-21T07:34:25Zoai:repositorio.ipsantarem.pt:10400.15/2981Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-20T01:54:51.085577Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse |
dc.title.none.fl_str_mv |
Downside risk management and VaR-based optimal portfolios for precious metals, oil and stocks |
title |
Downside risk management and VaR-based optimal portfolios for precious metals, oil and stocks |
spellingShingle |
Downside risk management and VaR-based optimal portfolios for precious metals, oil and stocks Hammoudeh, Shawkat Efficient frontiers Key assets Optimal portfolios Risk management Value-at-Risk |
title_short |
Downside risk management and VaR-based optimal portfolios for precious metals, oil and stocks |
title_full |
Downside risk management and VaR-based optimal portfolios for precious metals, oil and stocks |
title_fullStr |
Downside risk management and VaR-based optimal portfolios for precious metals, oil and stocks |
title_full_unstemmed |
Downside risk management and VaR-based optimal portfolios for precious metals, oil and stocks |
title_sort |
Downside risk management and VaR-based optimal portfolios for precious metals, oil and stocks |
author |
Hammoudeh, Shawkat |
author_facet |
Hammoudeh, Shawkat Araújo Santos, Paulo Al-Hassan, Abdullah |
author_role |
author |
author2 |
Araújo Santos, Paulo Al-Hassan, Abdullah |
author2_role |
author author |
dc.contributor.none.fl_str_mv |
Repositório Científico do Instituto Politécnico de Santarém |
dc.contributor.author.fl_str_mv |
Hammoudeh, Shawkat Araújo Santos, Paulo Al-Hassan, Abdullah |
dc.subject.por.fl_str_mv |
Efficient frontiers Key assets Optimal portfolios Risk management Value-at-Risk |
topic |
Efficient frontiers Key assets Optimal portfolios Risk management Value-at-Risk |
description |
Value-at-Risk (VaR) is used to analyze the market downside risk associated with investments in six key individual assets including four precious metals, oil and the S&P 500 index, and three diversified portfolios. Using combinations of these assets, three optimal portfolios and their efficient frontiers within a VaR framework are constructed and the returns and downside risks for these portfolios are also analyzed. One-day-ahead VaR forecasts are computed with nine risk models including calibrated RiskMetrics, asymmetric GARCH type models, the filtered Historical Simulation approach, methodologies from statistics of extremes and a risk management strategy involving combinations of models. These risk models are evaluated and compared based on the unconditional coverage, independence and conditional coverage criteria. The economic importance of the results is also highlighted by assessing the daily capital charges under the Basel Accord rule. The best approaches for estimating the VaR for the individual assets under study and for the three VaR-based optimal portfolios and efficient frontiers are discussed. The VaR-based performance measure ranks the most diversified optimal portfolio (Portfolio #2) as the most efficient and the pure precious metals. |
publishDate |
2013 |
dc.date.none.fl_str_mv |
2013 2013-01-01T00:00:00Z 2020-07-13T09:50:12Z |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/article |
format |
article |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
http://hdl.handle.net/10400.15/2981 |
url |
http://hdl.handle.net/10400.15/2981 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.relation.none.fl_str_mv |
Hammoudeh, S., Araújo Santos, P., & Al-Hassan, A. (2013). Downside risk management and VaR-based optimal portfolios for precious metals, oil and stocks. North American Journal of Economics & Finance, 25, 318–334. doi: 10.1016/j.najef.2012.06.012 1062-9408 10.1016/j.najef.2012.06.012 |
dc.rights.driver.fl_str_mv |
metadata only access info:eu-repo/semantics/openAccess |
rights_invalid_str_mv |
metadata only access |
eu_rights_str_mv |
openAccess |
dc.format.none.fl_str_mv |
application/pdf |
dc.publisher.none.fl_str_mv |
Elsevier |
publisher.none.fl_str_mv |
Elsevier |
dc.source.none.fl_str_mv |
reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação instacron:RCAAP |
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Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
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RCAAP |
institution |
RCAAP |
reponame_str |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
collection |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
repository.name.fl_str_mv |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
repository.mail.fl_str_mv |
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1799137038284357632 |