Issue: 2008/Vol.18/No.2, Pages 55-73
ON MEASURING THE SENSITIVITY OF THE OPTIMAL PORTFOLIO ALLOCATION
Iwona Konarzewska
Cite as: I. Konarzewska. On measuring the sensitivity of the optimal portfolio allocation. Operations Research and Decisions 2008: 18(2), 55-73.
Abstract
In this paper we consider the sensitivity problem connected with portfolio optimization results when different measures of risk such as portfolio rates of return standard deviation, portfolio VaR, CVaR are minimized. Conditioning the data (represented by spectral condition index of the rates of return correlation matrix) plays, as it is shown, a crucial role in describing the properties of the models. We report on the research conducted for 13 largest firms on Warsaw Stock Exchange.
Keywords: portfolio selection, Value-at-Risk, conditional Value-at-Risk
Received: Accepted: