英文标题：
《Portfolio optimization for heavy-tailed assets: Extreme Risk Index vs.
Markowitz》
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作者：
Georg Mainik, Georgi Mitov, Ludger R\\\"uschendorf
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最新提交年份：
2015
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英文摘要：
Using daily returns of the S&P 500 stocks from 2001 to 2011, we perform a backtesting study of the portfolio optimization strategy based on the extreme risk index (ERI). This method uses multivariate extreme value theory to minimize the probability of large portfolio losses. With more than 400 stocks to choose from, our study seems to be the first application of extreme value techniques in portfolio management on a large scale. The primary aim of our investigation is the potential of ERI in practice. The performance of this strategy is benchmarked against the minimum variance portfolio and the equally weighted portfolio. These fundamental strategies are important benchmarks for large-scale applications. Our comparison includes annualized portfolio returns, maximal drawdowns, transaction costs, portfolio concentration, and asset diversity in the portfolio. In addition to that we study the impact of an alternative tail index estimator. Our results show that the ERI strategy significantly outperforms both the minimum-variance portfolio and the equally weighted portfolio on assets with heavy tails.
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中文摘要：
利用2001年至2011年标准普尔500指数股票的日收益率，我们对基于极端风险指数（ERI）的投资组合优化策略进行了回溯测试研究。该方法使用多元极值理论来最小化大型投资组合损失的概率。有400多只股票可供选择，我们的研究似乎是首次将极值技术大规模应用于投资组合管理。我们调查的主要目的是研究ERI在实践中的潜力。该策略的性能以最小方差投资组合和等权投资组合为基准。这些基本策略是大规模应用的重要基准。我们的比较包括年化投资组合回报、最大提娶交易成本、投资组合集中度和投资组合中的资产多样性。除此之外，我们还研究了另一种尾部指数估计器的影响。我们的结果表明，ERI策略在具有重尾的资产上显著优于最小方差投资组合和等权投资组合。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Portfolio Management 项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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一级分类：Quantitative Finance 数量金融学
二级分类：Risk Management 风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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