BRADFORD SCHOLARS

    • Sign in
    View Item 
    •   Bradford Scholars
    • University of Bradford eTheses
    • Theses
    • View Item
    •   Bradford Scholars
    • University of Bradford eTheses
    • Theses
    • View Item
    JavaScript is disabled for your browser. Some features of this site may not work without it.

    Browse

    All of Bradford ScholarsCommunitiesAuthorsTitlesSubjectsPublication DateThis CollectionAuthorsTitlesSubjectsPublication Date

    My Account

    Sign in

    HELP

    Bradford Scholars FAQsCopyright Fact SheetPolicies Fact SheetDeposit Terms and ConditionsDigital Preservation Policy

    Statistics

    Most Popular ItemsStatistics by CountryMost Popular Authors

    Robust optimization for portfolio risk : a ravisit of worst-case risk management procedures after Basel III award.

    • CSV
    • RefMan
    • EndNote
    • BibTex
    • RefWorks
    Thumbnail
    View/Open
    PhDBradfordAlperOzunUB_08014862Final04082014 USE THIS VERSION.pdf (49.22Mb)
    Download
    Publication date
    2015-07-01
    Author
    Özün, Alper
    Supervisor
    Kenc, Turalay
    Adkins, Roger
    Keyword
    Robust Optimization, Worst-case risk management, WCVAR, Basel III, BRIC, Portfolio management
    Rights
    Creative Commons License
    The University of Bradford theses are licenced under a Creative Commons Licence.
    Institution
    University of Bradford
    Department
    School of Management
    Awarded
    2012
    
    Metadata
    Show full item record
    Abstract
    The main purpose of this thesis is to develop methodological and practical improvements on robust portfolio optimization procedures. Firstly, the thesis discusses the drawbacks of classical mean-variance optimization models, and examines robust portfolio optimization procedures with CVaR and worst-case CVaR risk models by providing a clear presentation of derivation of robust optimization models from a basic VaR model. For practical purposes, the thesis introduces an open source software interface called “RobustRisk”, which is developed for producing empirical evidence for the robust portfolio optimization models. The software, which performs Monte-Carlo simulation and out-of-sample performance for the portfolio optimization, is introduced by using a hypothetical portfolio data from selected emerging markets. In addition, the performance of robust portfolio optimization procedures are discussed by providing empirical evidence in the crisis period from advanced markets. Empirical results show that robust optimization with worst-case CVaR model outperforms the nominal CVaR model in the crisis period. The empirical results encourage us to construct a forward-looking stress test procedure based on robust portfolio optimization under regime switches. For this purpose, the Markov chain process is embedded into robust optimization procedure in order to stress regime transition matrix. In addition, assets returns, volatilities, correlation matrix and covariance matrix can be stressed under pre-defined scenario expectations. An application is provided with a hypothetical portfolio representing an internationally diversified portfolio. The CVaR efficient frontier and corresponding optimized portfolio weights are achieved under regime switch scenarios. The research suggests that stressed-CVaR optimization provides a robust and forward-looking stress test procedure to comply with the regulatory requirements stated in Basel II and CRD regulations.
    URI
    http://hdl.handle.net/10454/7324
    Type
    Thesis
    Qualification name
    PhD
    Collections
    Theses

    entitlement

     
    DSpace software (copyright © 2002 - 2023)  DuraSpace
    Quick Guide | Contact Us
    Open Repository is a service operated by 
    Atmire NV
     

    Export search results

    The export option will allow you to export the current search results of the entered query to a file. Different formats are available for download. To export the items, click on the button corresponding with the preferred download format.

    By default, clicking on the export buttons will result in a download of the allowed maximum amount of items.

    To select a subset of the search results, click "Selective Export" button and make a selection of the items you want to export. The amount of items that can be exported at once is similarly restricted as the full export.

    After making a selection, click one of the export format buttons. The amount of items that will be exported is indicated in the bubble next to export format.