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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 | ||
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