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The literature on portfolio selection and risk measurement has considerably advanced in recent years. The aim of the present paper is to trace the development of the literature and identify areas that require further research. This paper provides a literature review of the characteristics of financial data, commonly used models of portfolio selection, and portfolio risk measurement. In the summary of the characteristics of financial data, we summarize the literature on fat tail and dependence characteristic of financial data. In the portfolio selection model part, we cover three models: mean-variance model, global minimum variance (GMV) model and factor model. In the portfolio risk measurement part, we first classify risk measurement methods into two categories: moment-based risk measurement and moment-based and quantile-based risk measurement. Moment-based risk measurement includes time-varying covariance matrix and shrinkage estimation, while moment-based and quantile-based risk measurement includes semi-variance, VaR and CVaR.
|Number of pages||33|
|Journal||Journal of Risk and Financial Management|
|Publication status||E-pub ahead of print - 24 Mar 2019|
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- 1 Editorial work
Journal of Risk and Financial Management (Journal)
Milind Sathye (Reviewer)1 Oct 2019 → 30 Sep 2020
Activity: Publication peer-review and editorial work › Editorial work