The recent crisis made it evident that replicating the performance of a benchmark is not a sufficient goal to meet the expectations of usually risk-averse investors. The manager should also consider that the investor are seeking for a downside protection when the benchmark performs poorly and thus they should integrate a form of downside risk control. We propose a multiperiod double tracking error portfolio model which combines these two goals and provide enough flexibility. In particular, the control of the downside risk is carried out through the presence of a floor benchmark with respect to which we can accept different levels of shortfall. The choice of a proper measure for downside risk leads to different problem formulations and investment strategies which can reflect different attitudes towards risk. The proposed model is tested through a set of out-of-sample rolling simulation in different market conditions.
|Data di pubblicazione:||2012|
|Titolo:||Downside risk in multiperiod tracking error models|
|Titolo del libro:||WORKING PAPER (DEPARTMENT OF ECONOMICS, CÀ FOSCARI. UNIVERSITY OF VENICE)|
|Appare nelle tipologie:||3.1 Articolo su libro|
File in questo prodotto:
|WP_DSE_barro_canestrelli_17_12.pdf||Documento in Post-print||Accesso chiuso-personale||Riservato|