Financial Analyst Journal, Volume68, Issue2, 2012

在极端风险下分配资产：压力测试投资组合的新范例

作者：Stacy L. Cuffe (MSCI),

Lisa R. Goldberg (MSCI)

摘要：作者从两个方面扩展了投资组合压力测试的标准范例。首先，他们推出了一个工具包，使投资者能够设想和管理极端情景。风险模型是压力测试的组成部分。他们证明了在情景构建中使用历史和假设协方差矩阵的重要影响。其次，他们使用场景约束优化将投资组合压力测试的输出直接纳入投资决策当中。

Allocating Assets in Climates of Extreme Risk: A New Paradigm for Stress Testing Portfolios

Stacy L. Cuffe (MSCI), Lisa R. Goldberg (MSCI)

ABSTRACT

The authors extended the standard paradigm for portfolio stress testing in two ways. First, they introduced a toolkit that enables investors to envision and administer extreme scenarios. The risk model is integral to the stress test. They demonstrated the substantial impact of using historical and hypothetical covariance matrices in scenario construction. Second, they used a scenario-constrained optimization to incorporate the output of a portfolio stress test directly into an investment decision.

原文链接：

https://www.cfapubs.org/doi/abs/10.2469/faj.v68.n2.3

翻译：秦秀婷