| تعداد نشریات | 60 |
| تعداد شمارهها | 2,179 |
| تعداد مقالات | 17,652 |
| تعداد مشاهده مقاله | 53,620,256 |
| تعداد دریافت فایل اصل مقاله | 28,291,255 |
Mean-standard deviation-conditional value-at-risk portfolio optimization | ||
| Journal of Mathematics and Modeling in Finance | ||
| دوره 3، شماره 1، آذر 2023، صفحه 83-98 اصل مقاله (257.06 K) | ||
| نوع مقاله: Research Article | ||
| شناسه دیجیتال (DOI): 10.22054/jmmf.2023.73297.1086 | ||
| نویسندگان | ||
| Maziar Salahi* 1؛ Tahereh Khodamoradi1؛ Abdelouahed Hamdi2 | ||
| 1University of Guilan | ||
| 2Qatar University | ||
| چکیده | ||
| The use of variance as a risk measure is limited by its non-coherent nature. On the other hand, standard deviation has been demonstrated as a coherent and effective measure of market volatility. This paper suggests the use of standard deviation in portfolio optimization problems with cardinality constraints and short selling, specifically in the mean-conditional value-at risk framework. It is shown that, subject to certain conditions, this approach leads to lower standard deviation. Empirical results obtained from experiments on the SP index data set from 2016-2021 using various numbers of stocks and confidence levels indicate that the proposed model outperforms existing models in terms of Sharpe ratios. | ||
| کلیدواژهها | ||
| Portfolio optimization؛ mean-CVaR model؛ standard deviation | ||
| مراجع | ||
|
[1] Artzner, P., Delbaen, F., Eber, J.M., Heath, D, Coherent measures of risk, Math. Finance., 9 (1999), pp. 203–228. [2] Chang, K., Young, M., Liu, C., and Chung, H, Behavioral stock portfolio optimization through short-selling, Int. j. model. optim., 8(2018), pp. 125–130. [3] Dai, Z., Wen, F, A generalized approach to sparse and stable portfolio optimization problem, J. Ind. Manag. Optim., 14 (2018), 1651. [4] Elahi, Y., Abd Aziz, M.I, Mean-variance-cvar model of multiportfolio optimization via linear weighted sum method, Math. Probl. Eng., 2014 (2014). [5] Goodwin, T.H, The information ratio, Financ. Anal. J., 54 (1998), pp. 34–43. [6] Grant, M., Boyd, S., Ye, Y, Cvx: Matlab software for disciplined convex programming, version 2.0 beta (2013). [7] Hamdi, A., Khodamoradi, T., Salahi, M, A penalty decomposition algorithm for the extended mean-variance-cvar portfolio optimization problem, Discrete Math. Algorithms Appl., (2023). [8] Khodamoradi, T., Salahi, M, Extended mean-conditional value-at-risk portfolio optimization with PADM and conditional scenario reduction technique, Comput. Stat., (2022), pp. 1–18 [9] Khodamoradi, T., Salahi, M., Najafi, A.R, A note on CCMV portfolio optimization model with short selling and risk-neutral interest rate, Stat. Optim. Inf. Comput., 8 (2020), pp. 740–748. [10] Khodamoradi, T., Salahi, M., Najafi, A.R, Cardinality-constrained portfolio optimization with short selling and risk-neutral interest rate, Decis. Econ. Finance., (2021), pp. 1–18, [11] Khodamoradi, T., Salahi, M., Najafi, A.R, Multi-intervals robust mean-conditional valueat-risk portfolio optimization with conditional scenario reduction technique, Int. J. Appl. Decis., (2022), pp. 1–18 [12] Kim, J.H., Lee, Y., Kim, W.C., Fabozzi, F.J, Mean–variance optimization for asset allocation, J. Portf. Manag., 47 (2021), pp. 24–40. [13] Kobayashi, K., Takano, Y., Nakata, K, Bilevel cutting-plane algorithm for cardinalityconstrained mean-cvar portfolio optimization, J Glob Optim., 81 (2021), pp. 493–528. [14] Konno, H., Waki, H., Yuuki, A, Portfolio optimization under lower partial risk measures, Asia-Pac. Financial Mark. , 9 (2002), pp. 127–140. [15] Lo, A.W, The statistics of sharpe ratios Financ. Anal. J., 58 (2002), pp. 36–52. [16] Pineda, S., Conejo, A, Scenario reduction for risk-averse electricity trading, IET Gener. Transm. Distrib., 4 (2010), pp. 694–705. [17] Rockafellar, R.T., Uryasev, S, Optimization of conditional value-at-risk, J. Risk., 2 (2000), pp. 21–42 [18] Roman, D., Darby-Dowman, K., Mitra, G., Mean-risk models using two risk measures: a multi-objective approach, Quant Finance., 7 (2007), pp. 443–458. [19] Shi, Y., Zhao, X., Yan, X, Optimal asset allocation for a mean-variance-cvar insurer under regulatory constraints, Am. j. ind. bus. manag., 9 (2019), 1568. | ||
|
آمار تعداد مشاهده مقاله: 953 تعداد دریافت فایل اصل مقاله: 507 |
||