A Comparative Study of Mean-Variance and Mean Gini Portfolio Selection Using VaR and CVaR
نویسندگان
چکیده
منابع مشابه
CVaR Robust Mean - CVaR Portfolio Optimization
One of the most important problems faced by every investor is asset allocation. An investor during making investment decisions has to search for equilibrium between risk and returns. Risk and return are uncertain parameters in the suggested portfolio optimization models and should be estimated to solve theproblem. The estimation might lead to large error in the final decision. One of t...
متن کاملOptimal Dynamic Portfolio with Mean-CVaR Criterion
Value-at-risk (VaR) and conditional value-at-risk (CVaR) are popular risk measures from academic, industrial and regulatory perspectives. The problem of minimizing CVaR is theoretically known to be of a Neyman–Pearson type binary solution. We add a constraint on expected return to investigate the mean-CVaR portfolio selection problem in a dynamic setting: the investor is faced with a Markowitz ...
متن کاملOptimal mean-variance portfolio selection using Cauchy–Schwarz maximization
Fund managers highly prioritize selecting portfolios with a high Sharpe ratio. Traditionally, this task can be achieved by revising the objective function of the Markowitz mean-variance portfolio model and then resolving quadratic programming problems to obtain the maximum Sharpe ratio portfolio. This study presents a closed-form solution for the optimal Sharpe ratio portfolio by applying Cauch...
متن کاملMean - Variance Portfolio Optimisation
QP is the optimization of a quadratic function subject to linear equality and inequality constraints. It arises in multiple objective decision making where the departure of the actual decisions from their corresponding ideal, or bliss, value can be evaluated using a weighted quadratic norm as a measure of deviation. The formulation of mean-variance optimization of uncertain systems also leads t...
متن کاملA Possibilistic Mean VaR Model for Portfolio Selection
Abstract: This paper deals with a portfolio selection problem with fuzzy return rates. A possibilistic mean VaR model was proposed for portfolio selection. Specially, we present a mathematical programming model with possibilistic constraint. The possibilistic programming problem can be solved by transforming it into a linear programming problem. A numerical example is given to illustrate the be...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Journal of Financial Risk Management
سال: 2015
ISSN: 2167-9533,2167-9541
DOI: 10.4236/jfrm.2015.42007