Portfolio selection based on the mean-VaR efficient frontier

Chueh Yung Tsao*

*此作品的通信作者

研究成果: 期刊稿件文章同行評審

15 引文 斯高帕斯(Scopus)

摘要

Value-at-Risk (VaR) has become one of the standard measures for assessing risk not only in the financial industry but also for asset allocations of individual investors. The traditional mean-variance framework for portfolio selection should, however, be revised when the investor's concern is the VaR instead of the standard deviation. This is especially true when asset returns are not normal. In this paper, we incorporate VaR in portfolio selection, and we propose a mean-VaR efficient frontier. Due to the two-objective optimization problem that is associated with the mean-VaR framework, an evolutionary multi-objective approach is required to construct the mean-VaR efficient frontier. Specifically, we consider the elitist non-dominated sorting Genetic Algorithm (NSGA-II). From our empirical analysis, we conclude that the risk-averse investor might inefficiently allocate his/her wealth if his/her decision is based on the mean-variance framework.

原文英語
頁(從 - 到)931-945
頁數15
期刊Quantitative Finance
10
發行號8
DOIs
出版狀態已出版 - 2010

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