Portfolio optimization of risky assets using mean-variance and mean-CvaR / Hannah Nadiah Abdul Razak... [et al.]

Portfolio optimization of risky assets using mean-variance and mean-CvaR / Hannah Nadiah Abdul Razak... [et al.]

The aim of this research is to apply the variance and conditional value-at-risk (CVaR) as risk measures in portfolio selection problem. Consequently, we are motivated to compare the behavior of two different type of risk measures (variance and CVaR) when the expected returns of a portfolio vary from...

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Bibliographic Details
Main Authors: Abdul Razak, Hannah Nadiah, Maasar, Mohd. Azdi, Hafidzuddin, Nur Hafidzah, Chun Lee, Ernie Syufina
Format: Article
Language:English
Published: Universiti Teknologi MARA, Negeri Sembilan 2019
Subjects:
Statistical data
Mathematical statistics. Probabilities
Online Access:https://ir.uitm.edu.my/id/eprint/31204/

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