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Salahi, Maziar, Khodamoradi, Tahereh, Hamdi, Abdelouahed. (1402). Mean-standard deviation-conditional value-at-risk portfolio optimization. سامانه مدیریت نشریات علمی, 3(1), 83-98. doi: 10.22054/jmmf.2023.73297.1086
Maziar Salahi; Tahereh Khodamoradi; Abdelouahed Hamdi. "Mean-standard deviation-conditional value-at-risk portfolio optimization". سامانه مدیریت نشریات علمی, 3, 1, 1402, 83-98. doi: 10.22054/jmmf.2023.73297.1086
Salahi, Maziar, Khodamoradi, Tahereh, Hamdi, Abdelouahed. (1402). 'Mean-standard deviation-conditional value-at-risk portfolio optimization', سامانه مدیریت نشریات علمی, 3(1), pp. 83-98. doi: 10.22054/jmmf.2023.73297.1086
Salahi, Maziar, Khodamoradi, Tahereh, Hamdi, Abdelouahed. Mean-standard deviation-conditional value-at-risk portfolio optimization. سامانه مدیریت نشریات علمی, 1402; 3(1): 83-98. doi: 10.22054/jmmf.2023.73297.1086

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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تعداد مشاهده مقاله: 255
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