Sensitivity analysis of portfolio properties with budget constraints
by Emanuele Borgonovo, Marco Percoco
International Journal of Mathematics in Operational Research (IJMOR), Vol. 3, No. 3, 2011

Abstract: 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.

Online publication date: Thu, 12-Feb-2015

The full text of this article is only available to individual subscribers or to users at subscribing institutions.

 
Existing subscribers:
Go to Inderscience Online Journals to access the Full Text of this article.

Pay per view:
If you are not a subscriber and you just want to read the full contents of this article, buy online access here.

Complimentary Subscribers, Editors or Members of the Editorial Board of the International Journal of Mathematics in Operational Research (IJMOR):
Login with your Inderscience username and password:

Username:        Password:          Forgotten your password?

Want to subscribe?
A subscription gives you complete access to all articles in the current issue, as well as to all articles in the previous three years (where applicable). See our Orders page to subscribe.

If you still need assistance, please email subs@inderscience.com