6533b872fe1ef96bd12d40fb
RESEARCH PRODUCT
On the Consistent Use of VaR in Portfolio Performance Evaluation: A Cautionary Note
Valeriy Zakamulinsubject
Deviation risk measureExpected shortfallActuarial scienceSpectral risk measureCoherent risk measureDistortion risk measureEconomicsPortfolioPost-modern portfolio theoryPortfolio optimizationdescription
The portfolio performance measures based on the Value-at-Risk (VaR) concept have gained widespread popularity and are often used in empirical studies. Unfortunately, we have noticed that in majority of empirical studies a VaR-based performance measure is used inconsistently. The goal of this paper is, therefore, to emphasize how to consistently use VaR in portfolio performance evaluation. We also elaborate on a simple framework that allows to derive a general formula for a portfolio performance measure which is not limited to the use of VaR-based reward and risk measures, but is valid for all reward and risk measures that satisfy a few plausible properties.
| year | journal | country | edition | language |
|---|---|---|---|---|
| 2010-01-01 | SSRN Electronic Journal |