Mean-standard deviation-conditional value-at-risk portfolio optimization
The use of variance as a risk measure is limited by its non-coherentnature. On the other hand, standard deviation has been demonstrated as acoherent and effective measure of market volatility. This paper suggests theuse of standard deviation in portfolio optimization problems with cardinalityconstra...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
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Allameh Tabataba'i University Press
2023-09-01
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| Series: | Mathematics and Modeling in Finance |
| Subjects: | |
| Online Access: | https://jmmf.atu.ac.ir/article_16143_843342c89250203022682acc5eb645da.pdf |
| _version_ | 1797386744847400960 |
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| author | Maziar Salahi Tahereh Khodamoradi Abdelouahed Hamdi |
| author_facet | Maziar Salahi Tahereh Khodamoradi Abdelouahed Hamdi |
| author_sort | Maziar Salahi |
| collection | DOAJ |
| description | The use of variance as a risk measure is limited by its non-coherentnature. On the other hand, standard deviation has been demonstrated as acoherent and effective measure of market volatility. This paper suggests theuse of standard deviation in portfolio optimization problems with cardinalityconstraints and short selling, specifically in the mean-conditional value-at riskframework. It is shown that, subject to certain conditions, this approach leadsto lower standard deviation. Empirical results obtained from experiments onthe SP index data set from 2016-2021 using various numbers of stocks andconfidence levels indicate that the proposed model outperforms existing modelsin terms of Sharpe ratios. |
| first_indexed | 2024-03-08T22:14:47Z |
| format | Article |
| id | doaj.art-f2e5ceab7bd041dfbde8875fc3c204d7 |
| institution | Directory Open Access Journal |
| issn | 2783-0578 2783-056X |
| language | English |
| last_indexed | 2024-03-08T22:14:47Z |
| publishDate | 2023-09-01 |
| publisher | Allameh Tabataba'i University Press |
| record_format | Article |
| series | Mathematics and Modeling in Finance |
| spelling | doaj.art-f2e5ceab7bd041dfbde8875fc3c204d72023-12-19T05:16:31ZengAllameh Tabataba'i University PressMathematics and Modeling in Finance2783-05782783-056X2023-09-0131839810.22054/jmmf.2023.73297.108616143Mean-standard deviation-conditional value-at-risk portfolio optimizationMaziar Salahi0Tahereh Khodamoradi1Abdelouahed Hamdi2University of GuilanUniversity of GuilanQatar UniversityThe use of variance as a risk measure is limited by its non-coherentnature. On the other hand, standard deviation has been demonstrated as acoherent and effective measure of market volatility. This paper suggests theuse of standard deviation in portfolio optimization problems with cardinalityconstraints and short selling, specifically in the mean-conditional value-at riskframework. It is shown that, subject to certain conditions, this approach leadsto lower standard deviation. Empirical results obtained from experiments onthe SP index data set from 2016-2021 using various numbers of stocks andconfidence levels indicate that the proposed model outperforms existing modelsin terms of Sharpe ratios.https://jmmf.atu.ac.ir/article_16143_843342c89250203022682acc5eb645da.pdfportfolio optimizationmean-cvar modelstandard deviation |
| spellingShingle | Maziar Salahi Tahereh Khodamoradi Abdelouahed Hamdi Mean-standard deviation-conditional value-at-risk portfolio optimization Mathematics and Modeling in Finance portfolio optimization mean-cvar model standard deviation |
| title | Mean-standard deviation-conditional value-at-risk portfolio optimization |
| title_full | Mean-standard deviation-conditional value-at-risk portfolio optimization |
| title_fullStr | Mean-standard deviation-conditional value-at-risk portfolio optimization |
| title_full_unstemmed | Mean-standard deviation-conditional value-at-risk portfolio optimization |
| title_short | Mean-standard deviation-conditional value-at-risk portfolio optimization |
| title_sort | mean standard deviation conditional value at risk portfolio optimization |
| topic | portfolio optimization mean-cvar model standard deviation |
| url | https://jmmf.atu.ac.ir/article_16143_843342c89250203022682acc5eb645da.pdf |
| work_keys_str_mv | AT maziarsalahi meanstandarddeviationconditionalvalueatriskportfoliooptimization AT taherehkhodamoradi meanstandarddeviationconditionalvalueatriskportfoliooptimization AT abdelouahedhamdi meanstandarddeviationconditionalvalueatriskportfoliooptimization |