NDLI: Multi-level risk-controlled sector optimization of domestic and international fixed-income portfolios including conditional VaR

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Multi-level risk-controlled sector optimization of domestic and international fixed-income portfolios including conditional VaR

Content Provider	IEEE Xplore Digital Library
Author	D'Vari, R. Sosa, J.C. Yalamanchili, K.K.
Copyright Year	2000
Abstract	We have previously developed a fixed-income sector optimization methodology to facilitate tradeoffs between various sectors based on their contribution to the total portfolio return and risk. We maximize portfolio return subject to constraints including value-at-risk (VaR) and other downside risk measures, both absolute and relative to a benchmark (market and liability-based). Our method optimizes interest rate, curve, credit, and volatility exposures to achieve the highest expected return (view-oriented, historically based, or quantitatively forecast) within the allowed risk space defined by various specified risk constraints. This work advances the state-of-the-art in the risk-controlled optimization process for cases where there are a large number of subsector decision variables. These advances include: 1) introduction of a multi-level optimization process to avoid ill-conditioned joint risk characterization of a large number of subsectors, and to reduce required length of time histories, 2) refinement of our previous VaR and CVaR methodologies to add opportunistic nondollar bonds as well as high yield and emerging markets, and 3) ability to control risk at subsector levels as well as the total portfolio.
Starting Page	62
Ending Page	64
File Size	218825
Page Count	3
File Format	PDF
ISBN	0780364295
DOI	10.1109/CIFER.2000.844600
Language	English
Publisher	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Publisher Date	2000-03-28
Access Restriction	Subscribed
Rights Holder	Authors
Subject Keyword	Portfolios Reactive power Investments Optimization methods Constraint optimization Loans and mortgages Frequency estimation Risk management Economic indicators Economic forecasting
Content Type	Text
Resource Type	Article

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