Systemic Risk-Driven Portfolio Selection
研究了如何在系统性事件（如金融危机）中构建表现良好的投资组合，利用风险价值（VaR）和条件风险价值（CVaR）来平衡尾部风险与预期增长，实证表明考虑系统性风险的组合在市场下行时获得更高风险调整收益。
How can we construct portfolios that perform well in the face of systemic events? The global financial crisis of 2007–2008 and the coronavirus disease 2019 pandemic have highlighted the importance of accounting for extreme form of risks. In “Systemic Risk-Driven Portfolio Selection,” Capponi and Rubtsov investigate the design of portfolios that trade off tail risk and expected growth of the investment. The authors show how two well-known risk measures, the value-at-risk and the conditional value-at-risk, can be used to construct portfolios that perform well in the face of systemic events. The paper uses U.S. stock data from the S&P500 Financials Index and Canadian stock data from the S&P/TSX Capped Financial Index, and it demonstrates that portfolios accounting for systemic risk attain higher risk-adjusted expected returns, compared with well-known benchmark portfolio criteria, during times of market downturn.