The theory and application of spectral risk measures in Vietnam
This paper aims to provide a new risk measure for portfolio management in Vietnam by incorporating investor’s risk aversion into current risk measures such as value at risk (VaR) and expected shortfall (ES). This measure shares several desirable characteristics with the coherent risk measures, as il...
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University of Economics Ho Chi Minh City
2023
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| Truy cập trực tuyến: | http://jabes.ueh.edu.vn/Home/SearchArticle?article_Id=640bf602-7967-274a-a0fd-36c5f4052f50 https://scholar.dlu.edu.vn/thuvienso/handle/DLU123456789/115562 |
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oai:scholar.dlu.edu.vn:DLU123456789-1155622023-03-08T04:10:08Z The theory and application of spectral risk measures in Vietnam Ho, Hong Hai Nguyen, Thi Hoa This paper aims to provide a new risk measure for portfolio management in Vietnam by incorporating investor’s risk aversion into current risk measures such as value at risk (VaR) and expected shortfall (ES). This measure shares several desirable characteristics with the coherent risk measures, as illustrated in Artzner et al. (1997). In Vietnam, our study makes the first attempt to utilize distortion theory, instead of utility theory, to facilitate the adoption of risk aversion level in the popular risk measures. We find that spectral risk measure is more flexible and effective to different groups of risk-adverse investors, compared to the more monotonic and conventional VaR and ES measures 2023-03-08T04:10:08Z 2023-03-08T04:10:08Z 2017 Article 2615-9112 http://jabes.ueh.edu.vn/Home/SearchArticle?article_Id=640bf602-7967-274a-a0fd-36c5f4052f50 https://scholar.dlu.edu.vn/thuvienso/handle/DLU123456789/115562 10.24311/jabes/2017.24.4.2 en Journal of Asian Business and Economic Studies, Volume 24, Issue 04; p. 29-45 application/pdf University of Economics Ho Chi Minh City |
| institution |
Thư viện Trường Đại học Đà Lạt |
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Thư viện số |
| language |
English |
| description |
This paper aims to provide a new risk measure for portfolio management in Vietnam by incorporating investor’s risk aversion into current risk measures such as value at risk (VaR) and expected shortfall (ES). This measure shares several desirable characteristics with the coherent risk measures, as illustrated in Artzner et al. (1997). In Vietnam, our study makes the first attempt to utilize distortion theory, instead of utility theory, to facilitate the adoption of risk aversion level in the popular risk measures. We find that spectral risk measure is more flexible and effective to different groups of risk-adverse investors, compared to the more monotonic and conventional VaR and ES measures |
| format |
Article |
| author |
Ho, Hong Hai Nguyen, Thi Hoa |
| spellingShingle |
Ho, Hong Hai Nguyen, Thi Hoa The theory and application of spectral risk measures in Vietnam |
| author_facet |
Ho, Hong Hai Nguyen, Thi Hoa |
| author_sort |
Ho, Hong Hai |
| title |
The theory and application of spectral risk measures in Vietnam |
| title_short |
The theory and application of spectral risk measures in Vietnam |
| title_full |
The theory and application of spectral risk measures in Vietnam |
| title_fullStr |
The theory and application of spectral risk measures in Vietnam |
| title_full_unstemmed |
The theory and application of spectral risk measures in Vietnam |
| title_sort |
theory and application of spectral risk measures in vietnam |
| publisher |
University of Economics Ho Chi Minh City |
| publishDate |
2023 |
| url |
http://jabes.ueh.edu.vn/Home/SearchArticle?article_Id=640bf602-7967-274a-a0fd-36c5f4052f50 https://scholar.dlu.edu.vn/thuvienso/handle/DLU123456789/115562 |
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1819809049243287552 |