发帖
雷达卡
英文标题：
《Asset Allocation under the Basel Accord Risk Measures》
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作者：
Zaiwen Wen, Xianhua Peng, Xin Liu, Xiaoling Sun and Xiaodi Bai
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最新提交年份：
2013
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英文摘要：
Financial institutions are currently required to meet more stringent capital requirements than they were before the recent financial crisis; in particular, the capital requirement for a large bank\'s trading book under the Basel 2.5 Accord more than doubles that under the Basel II Accord. The significant increase in capital requirements renders it necessary for banks to take into account the constraint of capital requirement when they make asset allocation decisions. In this paper, we propose a new asset allocation model that incorporates the regulatory capital requirements under both the Basel 2.5 Accord, which is currently in effect, and the Basel III Accord, which was recently proposed and is currently under discussion. We propose an unified algorithm based on the alternating direction augmented Lagrangian method to solve the model; we also establish the first-order optimality of the limit points of the sequence generated by the algorithm under some mild conditions. The algorithm is simple and easy to implement; each step of the algorithm consists of solving convex quadratic programming or one-dimensional subproblems. Numerical experiments on simulated and real market data show that the algorithm compares favorably with other existing methods, especially in cases in which the model is non-convex.
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中文摘要：
金融机构目前被要求满足比最近金融危机前更严格的资本要求；特别是，根据巴塞尔协议2.5，大型银行交易账簿的资本要求是巴塞尔协议II的两倍多。资本要求的显著增加使得银行在做出资产配置决策时有必要考虑资本要求的约束。在本文中，我们提出了一个新的资产配置模型，该模型结合了目前生效的巴塞尔协议2.5和最近提出并正在讨论的巴塞尔协议III下的监管资本要求。提出了一种基于交替方向增广拉格朗日方法的统一算法来求解该模型；在一些温和的条件下，我们还建立了由该算法生成的序列的极限点的一阶最优性。算法简单，易于实现；算法的每一步都包括求解凸二次规划或一维子问题。对模拟和真实市场数据的数值实验表明，该算法优于其他现有方法，尤其是在模型非凸的情况下。
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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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