论文标题
脂肪尾巴和最佳责任驱动的投资组合
Fat Tails and Optimal Liability Driven Portfolios
论文作者
论文摘要
我们研究了一个肥胖和极端风险措施的最佳责任驱动的投资组合，尤其是在养老基金和保险固定现金流量责任概况的背景下，以及在衍生品书籍中出现的那些诸如Delta One Books或Onement Books之类的衍生品书籍中产生的概况。在极限限制中，我们恢复了一种新的尾巴风险措施，极端偏差（XD），这是一种极端风险措施对超值回报的敏感性比CVAR更为敏感。由此产生的最佳投资组合优化了每单位XD的收益，投资组合权重由责任对冲捐款组成，并寻求产生正风险调整后的回报的风险贡献。在定性和定量的许多不同限制中对产生的分配进行分析。
We look at optimal liability-driven portfolios in a family of fat-tailed and extremal risk measures, especially in the context of pension fund and insurance fixed cashflow liability profiles, but also those arising in derivatives books such as delta one books or options books in the presence of stochastic volatilities. In the extremal limit, we recover a new tail risk measure, Extreme Deviation (XD), an extremal risk measure significantly more sensitive to extremal returns than CVaR. Resulting optimal portfolios optimize the return per unit of XD, with portfolio weights consisting of a liability hedging contribution, and a risk contribution seeking to generate positive risk-adjusted return. The resulting allocations are analyzed qualitatively and quantitatively in a number of different limits.
