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Downside risk management and VaR-based optimal portfolios for precious metals, oil and stocks

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dc.contributor.authorHammoudeh, Shawkat
dc.contributor.authorAraújo Santos, Paulo
dc.contributor.authorAl-Hassan, Abdullah
dc.date.accessioned2020-07-13T09:50:12Z
dc.date.available2020-07-13T09:50:12Z
dc.date.issued2013
dc.description.abstractValue-at-Risk (VaR) is used to analyze the market downside risk associated with investments in six key individual assets including four precious metals, oil and the S&P 500 index, and three diversified portfolios. Using combinations of these assets, three optimal portfolios and their efficient frontiers within a VaR framework are constructed and the returns and downside risks for these portfolios are also analyzed. One-day-ahead VaR forecasts are computed with nine risk models including calibrated RiskMetrics, asymmetric GARCH type models, the filtered Historical Simulation approach, methodologies from statistics of extremes and a risk management strategy involving combinations of models. These risk models are evaluated and compared based on the unconditional coverage, independence and conditional coverage criteria. The economic importance of the results is also highlighted by assessing the daily capital charges under the Basel Accord rule. The best approaches for estimating the VaR for the individual assets under study and for the three VaR-based optimal portfolios and efficient frontiers are discussed. The VaR-based performance measure ranks the most diversified optimal portfolio (Portfolio #2) as the most efficient and the pure precious metals.pt_PT
dc.description.versioninfo:eu-repo/semantics/publishedVersionpt_PT
dc.identifier.citationHammoudeh, S., Araújo Santos, P., & Al-Hassan, A. (2013). Downside risk management and VaR-based optimal portfolios for precious metals, oil and stocks. North American Journal of Economics & Finance, 25, 318–334. doi: 10.1016/j.najef.2012.06.012pt_PT
dc.identifier.doi10.1016/j.najef.2012.06.012pt_PT
dc.identifier.issn1062-9408
dc.identifier.urihttp://hdl.handle.net/10400.15/2981
dc.language.isoengpt_PT
dc.peerreviewedyespt_PT
dc.publisherElsevierpt_PT
dc.relation.publisherversionhttps://www.sciencedirect.com/science/article/abs/pii/S1062940812000630?via%3Dihubpt_PT
dc.subjectEfficient frontierspt_PT
dc.subjectKey assetspt_PT
dc.subjectOptimal portfoliospt_PT
dc.subjectRisk managementpt_PT
dc.subjectValue-at-Riskpt_PT
dc.titleDownside risk management and VaR-based optimal portfolios for precious metals, oil and stockspt_PT
dc.typejournal article
dspace.entity.typePublication
oaire.citation.endPage334pt_PT
oaire.citation.startPage318pt_PT
oaire.citation.titleThe North American Journal of Economics and Financept_PT
oaire.citation.volume25pt_PT
rcaap.rightsclosedAccesspt_PT
rcaap.typearticlept_PT

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