Skip to main content
Fachgebiete
Automobil + Motoren Bauwesen + Immobilien Business IT + Informatik Elektrotechnik + Elektronik Energie + Nachhaltigkeit Finance + Banking Management + Führung Marketing + Vertrieb Maschinenbau + Werkstoffe Versicherung + Risiko
DE
EN
Bücher
Zeitschriften
Themenseiten
Organisationspsychologie Projektmanagement Marketing Smart Manufacturing
Weitere Formate
Podcasts Webinare Technik Webinare Wirtschaft Kongresse Veranstaltungskalender Awards
Jetzt Einzelzugang starten
Zugang für Unternehmen
Referenzkunden
SLX-Digitalkonferenz: Zukunftswerkstatt 2024

Mehr Umsatz mit Top-Kontakten

Am 7. Mai erfahren Sie, wie Vertriebsteams Leadgenerierung, Leadnurturing und Leadstrategien effizient steuern können.
Erweiterte Suche
Anmelden
nach oben
Erschienen in:
The Real Estate Investment Market: The Current State and Why Advances Are Needed Kapitel lesen Erstes Kapitel lesen

2022 | OriginalPaper | Buchkapitel

11. Optimization with Performance-Attribution Constraints

verfasst von : W. Brent Lindquist, Svetlozar T. Rachev, Yuan Hu, Abootaleb Shirvani

Erschienen in: Advanced REIT Portfolio Optimization

Verlag: Springer International Publishing

Einloggen

Aktivieren Sie unsere intelligente Suche, um passende Fachinhalte oder Patente zu finden.

search-config
loading …

Abstract

How well a portfolio performs is of primary concern for investors and governs investor confidence in the portfolio’s management. Attribution analysis provides measures for how well a portfolio is being managed. While performance-attribution measures have been used traditionally as a diagnostic tool, this chapter introduces the recent development to include these measures as constraints in portfolio optimization. Two such measures, asset allocation and the selection effect, are used to constrain conditional value-at-risk optimization of the domestic REIT portfolio under historical and dynamic optimization. The results are analyzed in terms of price and reward-to-risk performance measures. Performance improvement is then characterized in terms of the attribution measure used as the constraint, the optimization method, and the level of turnover constraint.

Sie haben noch keine Lizenz? Dann Informieren Sie sich jetzt über unsere Produkte:

Springer Professional "Wirtschaft+Technik"

Online-Abonnement

Mit Springer Professional "Wirtschaft+Technik" erhalten Sie Zugriff auf:

  • über 102.000 Bücher
  • über 537 Zeitschriften

aus folgenden Fachgebieten:

  • Automobil + Motoren
  • Bauwesen + Immobilien
  • Business IT + Informatik
  • Elektrotechnik + Elektronik
  • Energie + Nachhaltigkeit
  • Finance + Banking
  • Management + Führung
  • Marketing + Vertrieb
  • Maschinenbau + Werkstoffe
  • Versicherung + Risiko

Jetzt Wissensvorsprung sichern!

Jetzt informieren

Springer Professional "Technik"

Online-Abonnement

Mit Springer Professional "Technik" erhalten Sie Zugriff auf:

  • über 67.000 Bücher
  • über 390 Zeitschriften

aus folgenden Fachgebieten:

  • Automobil + Motoren
  • Bauwesen + Immobilien
  • Business IT + Informatik
  • Elektrotechnik + Elektronik
  • Energie + Nachhaltigkeit
  • Maschinenbau + Werkstoffe




 

Jetzt Wissensvorsprung sichern!

Jetzt informieren

Springer Professional "Wirtschaft"

Online-Abonnement

Mit Springer Professional "Wirtschaft" erhalten Sie Zugriff auf:

  • über 67.000 Bücher
  • über 340 Zeitschriften

aus folgenden Fachgebieten:

  • Bauwesen + Immobilien
  • Business IT + Informatik
  • Finance + Banking
  • Management + Führung
  • Marketing + Vertrieb
  • Versicherung + Risiko




Jetzt Wissensvorsprung sichern!

Jetzt informieren
Vorheriges Kapitel Risk Information and Management
Nächstes Kapitel Option Pricing
Fußnoten
1
In the original formulation developed by Brinson et al. (1986) (see also Bacon, 2008, Chap. 5), AAi is defined as \( {\mathrm{AA}}_i=\left({w}_i^{(p)}-{w}_i^{(b)}\right){R}_i^{(b)} \). The definition in Biglova and Rachev (2007), which we follow here, uses the excess return \( {R}_i^{(b)}-{R}^{(b)} \) for benchmark class i relative to the entire benchmark return in the definition (8.​1) of AAi. We note that although this modifies the values for AAi relative to that of the original Brinson et al. formulation, the total value, \( \mathrm{AA}={\sum}_{i=1}^M\left({w}_i^{(p)}-{w}_i^{(b)}\right)\left({R}_i^{(b)}-{R}^{(b)}\right)={\sum}_{i=1}^M\left({w}_i^{(p)}-{w}_i^{(b)}\right){R}_i^{(b)}-{\sum}_{i=1}^M\left({w}_i^{(p)}-{w}_i^{(b)}\right){R}^{(b)}={\sum}_{i=1}^M\left({w}_i^{(p)}-{w}_i^{(b)}\right){R}_i^{(b)}-0 \), is in agreement with the total value of AA in the Brinson et al. approach.
 
2
If \( {R}_i^{(p)},{R}_i^{(b)},{R}^{(b)}, \) and rij were simple (i.e., discrete) returns, the formulas in (11.3) would be exact. However, because they are log-returns, such formulas are approximate. For example, to leading order in a Taylor series expansion \( {R}^{(b)}-\sum \limits_{i=1}^M\sum \limits_{j=1}^{q_i}\ {w}_{ij}^{(b)}\mathbbm{E}\left[{r}_{ij}\right]\approx \) \( \frac{1}{2}\left[\sum \limits_{i=1}^M\sum \limits_{j=1}^{q_i}\ {w}_{ij}^{(b)}\mathbbm{E}{\left[{r}_{ij}\right]}^2-{\left(\sum \limits_{i=1}^M\sum \limits_{j=1}^{q_i}\ {w}_{ij}^{(b)}\mathbbm{E}\left[{r}_{ij}\right]\right)}^2\right] \).
 
3
Also a requirement for class i to be in the portfolio.
 
4
If the underlying profit–loss distribution is continuous, then the definitions of ETL [also known as tail conditional expectation (TCE) or tail value-at-risk (TVaR)] and CVaR [also known as expected shortfall (ES) or average value-at-risk (AVaR)] coincide. In the general case, however, CVaR is a coherent risk measure whereas ETL is not.
 
5
In contrast to Chap. 3, here we use the notation w′ to refer to vector transpose to avoid confusion with the time value T.
 
6
This assumes that benchmark weight values can be obtained in a timely manner and are not part of the optimization.
 
7
Thus, Q = N and qi = ni, i = 1, …, M.
 
8
In all the optimizations, whether for α = 0.95 or α = 0.99, only the historical, \( {\mathrm{P}}_{0.95}^2 \), optimization with no turnover constraint recorded a timestep (and in fact, only two timesteps) in which an empty feasible set was obtained when attempting a solution using penalty terms. For those two timesteps, optimum weight values from the previous timestep were used.
 
9
To within a relative constraint tolerance of ∣10−6∣ imposed by the sqp solver utilized in the optimization.
 
Literatur
Artzner, P., Delbaen, F., Eber, J.-M., & Heath, D. (1999). Coherent measures of risk. Risk, 10, 203–228.
Bacon, C. R. (2008). Practical portfolio performance measurement and attribution (2nd ed.). Wiley.
Biglova, A., & Rachev, S. T. (2007). Portfolio performance attribution. Investment Management and Financial Innovations, 4, 7–22.
Brinson, G. P., & Fachler, N. (1985). Measuring non-United-States equity portfolio performance. Journal of Portfolio Management, 11, 73–76.CrossRef
Brinson, G. P., Hood, L. R., & Beebower, G. L. (1986). Determinants of portfolio performance. Financial Analysts Journal, 42, 39–44.CrossRef
Gava, J., Guevara, F., & Turc, J. (2021). Turning tail risks into tailwinds. Journal of Portfolio Management, 47(4), 41–70.CrossRef
JP Morgan. (1996). Risk metrics technical manual (4th ed.). JP Morgan.
Konno, H., & Yamazaki, H. (1991). Mean-absolute deviation portfolio optimization model and its application to Tokyo stock market. Management Science, 37, 519–531.CrossRef
Markowitz, H. (1952). Portfolio selection*. Journal of Finance, 7, 77–91.
Pflug, G. C. (2000). Some remarks on the value-at-risk and the conditional value-at-risk. In S. P. Uryasev (Ed.), Probabilistic constrained optimization: Methodology and applications (pp. 272–281). Springer.CrossRef
Rachev, S. T., Martin, R. D., Racheva, B., & Stoyanov, S. (2009). Stable ETL optimal portfolios and extreme risk management. In G. Bol, S. T. Rachev, & R. Würth (Eds.), Risk assessment (pp. 235–262). Physica-Verlag HD.
Rockafellar, R. T., & Uryasev, S. (2000). Optimization of conditional value-at-risk. Journal of Risk, 2, 21–41.CrossRef
Metadaten
Titel
Optimization with Performance-Attribution Constraints
verfasst von
W. Brent Lindquist
Svetlozar T. Rachev
Yuan Hu
Abootaleb Shirvani
Copyright-Jahr
2022
Buch
Advanced REIT Portfolio Optimization

Print ISBN: 978-3-031-15285-6

Electronic ISBN: 978-3-031-15286-3

Copyright-Jahr: 2022

DOI
https://doi.org/10.1007/978-3-031-15286-3_11