Sensitivity analysis of portfolio properties with budget constraints
type: Item
instance of: scholarly article
title: Sensitivity analysis of portfolio properties with budget constraints
zbMATH Open document ID: 1215.91080
DOI: 10.1504/IJMOR.2011.040028
author: Marco Percoco
author: E. Borgonovo
published in: International Journal of Mathematics in Operational Research
publication date: 2011-06-28T00:00:00Z
review text: Summary: We develop a framework for understanding how variations of portfolio properties are apportioned to changes in portfolio composition as trading is performed in the presence of budget constraints. Our approach is based on the concept of constrained derivative. It allows one to obtain the simultaneous sensitivity of portfolio properties w.r.t. assets groups for any choice of pivotal asset. Analytical expressions for the sensitivity of portfolio returns, variance, GARCH volatility and Value at Risk (VaR) are derived. A numerical exemplification is proposed with reference to the 30 assets of the Dow Jones Index.
Mathematics Subject Classification ID: 91G70
Mathematics Subject Classification ID: 62P05
zbMATH DE Number: 5914297
zbMATH Keywords: sensitivity analysis
zbMATH Keywords: portfolio management
zbMATH Keywords: value at risk
zbMATH Keywords: portfolio returns
zbMATH Keywords: variance
zbMATH Keywords: GARCH volatility
zbMATH Keywords: budget constraints
MaRDI profile type: Publication
full work available at URL: ijmor.2011.040028
OpenAlex ID: W2035667986
description: scientific article; zbMATH DE number 5914297