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Mean-standard deviation-conditional value-at-risk portfolio optimization | ||
Journal of Mathematics and Modeling in Finance | ||
مقالات آماده انتشار، پذیرفته شده، انتشار آنلاین از تاریخ 16 خرداد 1402 | ||
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 | ||
Mean-CVaR model؛ Standard deviation؛ Short selling؛ Cardinality constraints | ||
آمار تعداد مشاهده مقاله: 19 |