*Portfolio optimization of risky assets using mean-variance and mean-cvar / Hannah Nadiah Abdul Razak, Ernie Syufina Chun Lee @ Mohd Fadzlee and Nur Hafidzah Hafidzuddin.*[Student Project] (Unpublished)

## Abstract

The aim of this research is to apply the variance and conditional value-at¬ risk (CVaR) as risk measures in portfolio selection problem. To obtain an optimum portfolio of the assets, we minimize the risks using mean-variance and mean-CVaR models. Dataset with stocks from FBMKLCI is used to generate our scenario returns. Both models and dataset are coded and im¬ plemented in AMPL software. Then, we analyzed the numerical results in Microsoft Excel. We compared the performance of both optimized port¬ folios constructed from the models in term of risk measure and realized returns. The optimal portfolios are evaluated across three different target returns that represent the low risk-low returns, medium risk-medium re¬ turns and high risk-high returns portfolios. Numerical results show that the composition of portfolios for mean-variance are generally more diversi¬ fied compared to mean-CVaR portfolios. The in-sample results show that the seven optimal mean-CVaRo.05 portfolios have lower CVaRo.05 values as compared to their optimal mean-variance counterparts. Consequently, the standard deviation for mean-variance optimal portfolios are lower than the standard deviation of its mean-CVaRo.05 counterparts. For the out¬ of sample analysis, we can conclude that mean-variance portfolios only minimize standard deviation at low target return. While, mean-CVaR portfolios are favourable in minimizing risks at high target return.

## Metadata

Item Type: | Student Project |
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Creators: | Creators Email / ID Num. Abdul Razak, Hannah Nadiah UNSPECIFIED Chun Lee @ Mohd Fadzlee, Ernie Syufina UNSPECIFIED Hafidzuddin, Nur Hafidzah UNSPECIFIED |

Contributors: | Contribution Name Email / ID Num. Thesis advisor Maasar, Mohd Azdi UNSPECIFIED |

Subjects: | Q Science > QA Mathematics > Study and teaching Q Science > QA Mathematics > Mathematical statistics. Probabilities Q Science > QA Mathematics > Mathematical statistics. Probabilities > Data processing Q Science > QA Mathematics > Mathematical statistics. Probabilities > Prediction analysis |

Divisions: | Universiti Teknologi MARA, Negeri Sembilan > Seremban Campus > Faculty of Computer and Mathematical Sciences |

Programme: | Bachelor of Science (Hons.) Mathematics |

Keywords: | Portfolio optimization, risky assets, mean-variance, mean-cvar |

Date: | 2018 |

URI: | https://ir.uitm.edu.my/id/eprint/49466 |

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