Value at Risk and Return from the Use of Bayesian Methods for Stress Testing in a World Asset Allocation and the 2008-2009 Crisis

Humberto Valencia Herrera ()
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Humberto Valencia Herrera: Instituto Tecnológico y de Estudios Superiores de Monterrey

Revista de Administración, Finanzas y Economía (Journal of Management, Finance and Economics), 2011, vol. 5, issue 1, 33-49

Abstract: The return and value at risk return of a proposed asset allocation obtained using Black-Litterman and Markowitz Bayesian portfolio methods applied to a world portfolio of indexes is strongly dependent on the scale parameter of the prior return distribution. However, the observed mean and value at risk during the 2008 to 2010 period with the proposed allocation is relatively less sensible to this parameter

Keywords: Financial studies; international security markets; Black-Litterman model; Bayesian portfolio optimization (search for similar items in EconPapers)
JEL-codes: G11 G15 (search for similar items in EconPapers)
Date: 2011
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Persistent link: https://EconPapers.repec.org/RePEc:ega:rafega:201103

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