文章基本信息

标题：The optimal portfolio in respect to Expected Shortfall: a comparative study
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作者：Henryk Gurgul ; Artur Machno ; Robert Syrek 等
期刊名称：Ekonomia Menedzerska (älter als 2 Jahre)
印刷版ISSN：1898-1143
出版年度：2013
卷号：14
页码：17-38
DOI：10.7494/manage.2013.14.17
出版社：Akademia Górniczo-Hutnicza
摘要：Dependence structures in capital markets have recently attracted increasingattention among economists, empirical researchers, and practitioners. In orderto control a portfolio for risks, portfolio managers and regulators have to takeinto account a degree of dependence between international equity markets whenstudying returns across international financial markets. Therefore, the topic ofasymmetric dependence structures, such as high dependence in a bear period ofthe stock market is very important for both the risk control and the policy management.In addition, the benefits derived from an international diversification ofasset allocation are often affected by asymmetric dependence structures.