2020
DOI: 10.3390/risks8040126
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Portfolio Construction by Using Different Risk Models: A Comparison among Diverse Economic Scenarios

Abstract: We aim to construct portfolios by employing different risk models and compare their performance in order to understand their appropriateness for effective portfolio management for investors. Mean variance (MV), semi variance (SV), mean absolute deviation (MaD) and conditional value at risk (CVaR) are considered as risk measures. The price data were extracted from the Pakistan stock exchange, Bombay stock exchange and Dhaka stock exchange under diverse economic conditions such as crisis, recovery and growth. We… Show more

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Cited by 13 publications
(7 citation statements)
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“…In this paper, we chose the conditional value at risk (CVaR) as risk measure and follow Rockafellar and Uryasev [22] optimisation approach for problem (7).…”
Section: Efficient Portfolio and Optimisationmentioning
confidence: 99%
See 1 more Smart Citation
“…In this paper, we chose the conditional value at risk (CVaR) as risk measure and follow Rockafellar and Uryasev [22] optimisation approach for problem (7).…”
Section: Efficient Portfolio and Optimisationmentioning
confidence: 99%
“…Javed et al [4], Khan et al [5] as well as Jurczenko et al [6] proposed the analysis based on moments of higher orders. Hunjra et al [7], Krokhmal et al [8] as well as Agrawal and Naik [9] construct optimal portfolios using alternative risk measures. All these methods have shown their performance compared to the results given through classical analysis.…”
Section: Introductionmentioning
confidence: 99%
“…It can be noted that superquantiles are fundamental building blocks for estimates of risk in finance [64] and engineering [65]. In finance, the superquantile has various names, such as expected tail loss [66], conditional value-at-risk (CVaR) [67][68][69][70] or tail value-atrisk [71], average value at risk [72], expected shortfall [73,74]. Subquantile is not such a widespread concept.…”
Section: Linear Form Of Quantile-oriented Sensitivity Indices-contrasmentioning
confidence: 99%
“…The analysis of this problem provides all investment portfolios that constitute the "so-called efficient boundary", which represents the best return that can be achieved at each level of risk. Subsequently, Bares et al used an equal elasticity utility function to discuss portfolio optimization within the framework of the expected utility method [4]; Hunjra et al constructed the optimal investment portfolio using alternative risk measures [5]. Compared with classical analysis results, these methods demonstrate their performance and confirm the possibility of dealing with portfolio selection problems outside of the Gaussian framework.…”
Section: Introductionmentioning
confidence: 99%