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Journal Articles The Journal of Risk Year : 2006

Alternative Risk Measures for Alternative Investments

Yannick Malevergne
Ali Chabaane
  • Function : Author
Jean-Paul Laurent
Françoise Turpin
  • Function : Author


This paper deals with portfolio optimization under different risk constraints. We use a set of hedge funds where departures from normality are significant. We optimize the expected return under standard deviation, semivariance, value-at-risk (VAR) and expected shortfall (or CVAR) constraints. As far as the VAR is concerned, we compare different estimators. While the optimization with respect to VAR constraints appears to be difficult and lengthy, there are very fast optimization algorithms for the other risk constraints. We find that the choice of a particular VAR estimator is less discriminant than the choice of the risk constraint itself. We provide financial interpretations of the optimal portfolios associated with a decomposition of risk measures.
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Dates and versions

hal-02311832 , version 1 (11-10-2019)


  • HAL Id : hal-02311832 , version 1


Yannick Malevergne, Ali Chabaane, Jean-Paul Laurent, Françoise Turpin. Alternative Risk Measures for Alternative Investments. The Journal of Risk, 2006, 8 (4), pp.1-32 P. ⟨hal-02311832⟩


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