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Erscheinungsjahr: 
2024
Schriftenreihe/Nr.: 
Working Paper No. 9/2024
Verlag: 
Örebro University School of Business, Örebro
Zusammenfassung: 
This paper examines optimal portfolio selection using quantile-based risk measures such as Valueat-Risk (VaR) and Conditional Value-at-Risk (CVaR). We address the case of a singular covariance matrix of asset returns, which leads to an optimization problem with infinitely many solutions. An analytical form for a general solution is derived, along with a unique solution that minimizes the L2-norm. We also show that the general solution reduces to the standard optimal portfolio for VaR and CVaR when the covariance matrix is non-singular.
Schlagwörter: 
Minimum VaR portfolio
Minimum CVaR portfolio
Singular covariance matrix
Linear illposed problems
JEL: 
C58
G11
G32
Dokumentart: 
Working Paper

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